2025/08/26 by Fang, Shuixin, Zhao, Weidong, Zhou, Tao
#60H35 #65C20 #65C30 #FOS: Mathematics #Numerical Analysis (math.NA)
paper · doi:10.48550/arxiv.2508.18707
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.