  Motivated by the idea of imposing paralleling computing on solving stochastic
differential equations (SDEs), we introduce a new Domain Decomposition Scheme
to solve forward-backward stochastic differential equations (FBSDEs) parallely.
We reconstruct the Four Step Scheme in {MaProtterYong:1994:SFB} with some
different conditions and then associate it with the idea of Domain
Decomposition Methods. We also introduce a new technique to prove the
convergence of Domain Decomposition Methods for systems of quasilinear
parabolic equations and use it to prove the convergence of our scheme for the
FBSDEs.
