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