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
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A First-Order Numerical Scheme for Forward-Backward Stochastic Differential Equations in Bounded Domains |
scientific article; zbMATH DE number 6961129 |
Statements
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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