Runge-Kutta schemes for backward stochastic differential equations (Q2448693): Difference between revisions
From MaRDI portal
ReferenceBot (talk | contribs) Changed an Item |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3106010402 / rank | |||
Normal rank | |||
Latest revision as of 08:28, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Runge-Kutta schemes for backward stochastic differential equations |
scientific article |
Statements
Runge-Kutta schemes for backward stochastic differential equations (English)
0 references
5 May 2014
0 references
Runge-Kutta type schemes are presented for the approximation of solutions of backward stochastic differential equations of the form \[ Y_t= g(X_T)+ f(Y_t, Z_t)\,dt- \int^T_t Z_t\, dW_t, \] where \(W_t\) is a Brownian motion. Convergence properties of these schemes are specified and proved.
0 references
backward stochastic differential equations
0 references
high-order discretization
0 references
Runge-Kutta methods
0 references
0 references
0 references
0 references
0 references
0 references
0 references
