High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion (Q2090362)

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English	High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion	scientific article

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scholarly article

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title

High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion (English)

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zbMATH Open document ID

1504.65020

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DOI

10.3934/dcdsb.2021233

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Discrete and Continuous Dynamical Systems. Series B

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publication date

25 October 2022

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Mathematics Subject Classification ID

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backward stochastic differential equations

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Feynman-Kac formula

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Itô-Taylor expansion

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finite difference approximation

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one-step method

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Wikidata QID

Q115219156

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.3934/dcdsb.2021233

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OpenAlex ID

W3203879389

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mardi Publication:2090362