Backward stochastic differential equations (BSDEs) have emerged as a pivotal mathematical tool in the analysis of complex systems across finance, physics and engineering. Their formulation, generally ...

Finite-difference approximations for the first derivative, valid halfway between equidistant gridpoints, are in general much more accurate than the corresponding approximations, which are valid at ...

Some iterative methods are developed for the solution of a forward-backward heat equation. Lower bounds for the rates of convergence of the methods are given, and some numerical results are presented.