Numerical methods for certain classes of Markovian backward stochastic differential equations and quasi-linear parabolic partial differential equations via Girsanov's theorem (Q5225329)
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scientific article; zbMATH DE number 7083738
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| English | Numerical methods for certain classes of Markovian backward stochastic differential equations and quasi-linear parabolic partial differential equations via Girsanov's theorem |
scientific article; zbMATH DE number 7083738 |
Statements
22 July 2019
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backward stochastic differential equations
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parabolic partial differential equations
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discrete time approximation
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Monte Carlo simulation
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Girsanov's theorem
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Feynman-Kac's formula
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0.7960596680641174
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0.7921315431594849
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0.7764667868614197
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0.77515709400177
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