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Ma, J., Protter, P. and Yong, J. (1994) Solving Forward-Backward Stochastic Differential Equations Explicitly—A Four Step Scheme. Probability Theory and Related Fields, 98, 339-359.
https://doi.org/10.1007/BF01192258

has been cited by the following article:

• TITLE: Optimal Error Estimates of the Crank-Nicolson Scheme for Solving a Kind of Decoupled FBSDEs

  AUTHORS: Zhe Wang, Yang Li

  KEYWORDS: Forward Backward Stochastic Differential Equations, Second-Order Scheme, Error Estimate, Trapezoidal Rule

  JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.6 No.2, February 8, 2018

  ABSTRACT: In this paper, under weak conditions, we theoretically prove the second-order convergence rate of the Crank-Nicolson scheme for solving a kind of decoupled forward-backward stochastic differential equations.