A generalized \(\theta\)-scheme for solving backward stochastic differential equations

DOI10.3934/dcdsb.2012.17.1585zbMath1250.60033OpenAlexW2327420989MaRDI QIDQ432591

Guannan Zhang, Yang Li, Weidong Zhao

Publication date: 4 July 2012

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2012.17.1585

zbMATH Keywords

numerical testsbackward stochastic differential equationserror estimatesecond order\(\theta\)-scheme

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) 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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