Numerical simulation of BSDEs with drivers of quadratic growth (Q655587)

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English
Numerical simulation of BSDEs with drivers of quadratic growth
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    title
    Numerical simulation of BSDEs with drivers of quadratic growth (English)
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    DOI
    10.1214/10-AAP744
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    author
    Adrien Richou
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    publication date
    4 January 2012
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    Mathematics Subject Classification ID
    60H35
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    65C30
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    60H10
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    zbMATH DE Number
    5994514
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    zbMATH Keywords
    bsdes
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    driver of quadratic growth
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    time discretization scheme
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    arXiv ID
    1001.0401
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    cites work
    Q4356591
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