Numerical algorithms for backward stochastic differential equations with 1-d Brownian motion: convergence and simulations (Q2839115)
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scientific article; zbMATH DE number 6184091
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| English | Numerical algorithms for backward stochastic differential equations with 1-d Brownian motion: convergence and simulations |
scientific article; zbMATH DE number 6184091 |
Statements
4 July 2013
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backward stochastic differential equations
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reflected stochastic differential equations with one barrier
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algorithm
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numerical examples
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Brownian motion
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convergence
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Numerical algorithms for backward stochastic differential equations with 1-d Brownian motion: convergence and simulations (English)
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0.8492653369903564
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0.8486214876174927
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0.8379855751991272
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0.827732264995575
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