Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations (Q3417898)
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scientific article; zbMATH DE number 5120057
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| English | Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations |
scientific article; zbMATH DE number 5120057 |
Statements
Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations (English)
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31 January 2007
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stochastic differential equations
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forward-backward equations
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quasi-linear parabolic partial differential equations
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Monte Carlo methods
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mean square convergence
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finite differences
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numerical experiments
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0.9177148342132568
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0.8930850625038147
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0.846699595451355
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