A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations (Q5296055)

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scientific article; zbMATH DE number 5176059
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A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
scientific article; zbMATH DE number 5176059

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    A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations (English)
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    31 July 2007
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    backward stochastic differential equations
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    Monte Carlo method
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    time-space discretization
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