A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus (Q2293285): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 07:38, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus |
scientific article |
Statements
A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus (English)
0 references
7 February 2020
0 references
backward stochastic differential equation
0 references
second-order discretization
0 references
Malliavin calculus
0 references
