New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations (Q6486753)
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scientific article; zbMATH DE number 6370164
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| English | New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations |
scientific article; zbMATH DE number 6370164 |
Statements
New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations (English)
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17 November 2014
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high order
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multistep scheme
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diffusion process
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Euler method
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coupled Markovian forward backward stochastic differential equations
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numerical experiment
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