A branching particle system approximation for a class of FBSDEs
Publication:2296088
DOI10.1186/S41546-016-0007-YzbMath1440.60062OpenAlexW2556342349WikidataQ59438036 ScholiaQ59438036MaRDI QIDQ2296088
Dejian Chang, Jie Xiong, Hui Li Liu
Publication date: 17 February 2020
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s41546-016-0007-y
numerical solutionpartial differential equationsforward-backward stochastic differential equationbranching particle system
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)
Related Items (6)
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