Numerical approximation of ergodic BSDEs using non linear Feynman-Kac formulas

DOI10.1016/J.SPA.2026.104871MaRDI QIDQ6851245zbMATH OpenFDO

Authors Emmanuel Gobet, Adrien Richou, Lukasz Szpruch

Publication date 27 February 2026

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPA.2026.104871

zbMATH Keywords

elliptic PDEsFeynman-Kac representationprobabilistic numerical schemestochastic differential equations

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical solutions to stochastic differential and integral equations (65C30)

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