Numerical simulation of quadratic BSDEs

DOI10.1214/14-AAP1090zbMath1334.60129arXiv1307.5741OpenAlexW1593490009MaRDI QIDQ259576

Adrien Richou, Jean-François Chassagneux

Publication date: 11 March 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.5741

zbMATH Keywords

backward stochastic differential equationsnumerical approximationtime-discretization

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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