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