Error estimates of the \(\theta\)-scheme for backward stochastic differential equations
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Publication:1045766
DOI10.3934/dcdsb.2009.12.905zbMath1185.60077OpenAlexW2117934096MaRDI QIDQ1045766
Jinlei Wang, Weidong Zhao, Shige Peng
Publication date: 16 December 2009
Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/dcdsb.2009.12.905
Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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