A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations

DOI10.1137/09076979XzbMath1234.60068OpenAlexW2018023106MaRDI QIDQ2999838

Guannan Zhang, Lili Ju, Weidong Zhao

Publication date: 17 May 2011

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/09076979x

zbMATH Keywords

numerical stabilitybackward stochastic differential equationGauss-Hermite quadraturemultistep method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) 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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