A linear numerical scheme for nonlinear BSDEs with uniformly continuous coefficients
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Publication:2570902
DOI10.1155/S1110757X04401168zbMath1082.60050OpenAlexW2079197288MaRDI QIDQ2570902
Omid Solaymani Fard, Ali Vahidian Kamyad
Publication date: 31 October 2005
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/52167
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Approximation by polynomials (41A10)
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