Numerical Algorithms for Forward-Backward Stochastic Differential Equations
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forward-backward stochastic differential equationsmean-square convergencenumerical integrationsemilinear partial differential equations of parabolic type
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical solutions to stochastic differential and integral equations (65C30)
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