A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations (Q2999838)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations |
scientific article |
Statements
A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations (English)
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17 May 2011
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backward stochastic differential equation
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multistep method
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numerical stability
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Gauss-Hermite quadrature
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