A First-Order Numerical Scheme for Forward-Backward Stochastic Differential Equations in Bounded Domains (Q4688172)

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scientific article; zbMATH DE number 6961129
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A First-Order Numerical Scheme for Forward-Backward Stochastic Differential Equations in Bounded Domains
scientific article; zbMATH DE number 6961129

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    A First-Order Numerical Scheme for Forward-Backward Stochastic Differential Equations in Bounded Domains (English)
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    22 October 2018
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    forward-backward stochastic differential equations
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    exit time
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    Dirichlet boundary conditions
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    implicit Euler scheme
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