Discretization of backward semilinear stochastic evolution equations
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Publication:2507644
DOI10.1016/j.spa.2006.01.003zbMath1171.60361MaRDI QIDQ2507644
Publication date: 5 October 2006
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2006.01.003
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
Cites Work
- Forward-backward stochastic differential equations and their applications
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Corrigendum to ``Stability in \(\mathbb D\) of martingales and backward equations under discretization of filtration
- On the robustness of backward stochastic differential equations.
- Stability in \(\mathbb D\) of martingales and backward equations under discretization of filtration
- Numerical methods for forward-backward stochastic differential equations
- Adapted solution of a backward semilinear stochastic evolution equation
- Donsker-type theorem for BSDEs
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