Numerical simulation of quadratic BSDEs (Q259576)

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Numerical simulation of quadratic BSDEs
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    Statements

    title
    Numerical simulation of quadratic BSDEs (English)
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    author
    Adrien Richou
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    publication date
    11 March 2016
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    zbMATH Keywords
    backward stochastic differential equations
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    time-discretization
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    numerical approximation
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    Identifiers

    DOI
    10.1214/14-AAP1090
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    Mathematics Subject Classification ID
    60H35
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    60H10
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    65C30
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    zbMATH DE Number
    6554520
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