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In this paper, we propose a new kind of numerical scheme for high-dimensionalbackward stochastic differential equations based on modified multi-level Picarditeration. The proposed scheme is very similar to the original multi-levelPicard iteration but it differs on underlying Monte-Carlo sample generation andenables an improvement in the sense of complexity. We prove the explicit errorestimates for the case where the generator does not depend on control variate.

A Numerical Scheme For High-dimensional Backward Stochastic Differential Equation Based On Modified Multi-level Picard Iteration