Numerical simulation of BSDEs with drivers of quadratic growth
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Publication:655587
DOI10.1214/10-AAP744zbMath1274.60221arXiv1001.0401MaRDI QIDQ655587
Publication date: 4 January 2012
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1001.0401
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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