Solving forward-backward stochastic differential equations explicitly -- a four step scheme
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Publication:1326299
DOI10.1007/BF01192258zbMath0794.60056OpenAlexW2046553535MaRDI QIDQ1326299
Jin Ma, Philip E. Protter, Jiong-min Yong
Publication date: 15 August 1994
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01192258
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Martingales with continuous parameter (60G44) Stochastic integral equations (60H20)
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