Year: 2025
Type: preprint
Abstract: The Butcher theory provides a powerful tool for analyzing order conditions of Runge-Kutta schemes for ordinary differential equations (ODEs); however, such a theory has not yet been well established for backward stochastic differential equations (BSDEs) -- motivating the current work to address this gap. Specifically, we propose a new class of explicit Runge-Kutta schemes for BSDEs. These schemes admit a concise formulation that closely mirrors their ODE counterparts. Building on this formulation, we extend the Butcher theory to the proposed schemes, thereby enabling a symbolic derivation of Taylor expansions for the local truncation errors, and yielding the order conditions. Our approach preserves the elegance and generality of the original Butcher theory: it avoids stage-by-stage error expansions and provides a systematic, stage-inductive analysis, applicable to schemes with any number of stages and any target order. Numerical experiments support the theoretical results.
Source: arXiv (Cornell University)
Authors: Fang, Shuixin, Qiu, Yue, Zhao, Weidong
Language: English
Subfield: Numerical Analysis
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W7077906001
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