On Numerical Approximations of Forward-Backward Stochastic Differential Equations

DOI10.1137/06067393XzbMath1177.60064OpenAlexW2033093836MaRDI QIDQ3642896

Jie Shen, Jin Ma, Yanhong Zhao

Publication date: 6 November 2009

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

Full work available at URL: https://doi.org/10.1137/06067393x

zbMATH Keywords

convergence rateforward-backward stochastic differential equationsfour step schemeHermite-spectral method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stochastic systems in control theory (general) (93E03) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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