Mean square rate of convergence for random walk approximation of forward-backward SDEs (Q5005033)

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scientific article; zbMATH DE number 7378183
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Mean square rate of convergence for random walk approximation of forward-backward SDEs
scientific article; zbMATH DE number 7378183

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    Mean square rate of convergence for random walk approximation of forward-backward SDEs (English)
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    4 August 2021
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    backward stochastic differential equations
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    approximation scheme
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    finite difference equation
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    convergence rate
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    random walk approximation
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