A numerical scheme for BSDEs

DOI10.1214/aoap/1075828058zbMath1056.60067OpenAlexW2095445700MaRDI QIDQ1431562

Publication date: 10 June 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1075828058

zbMATH Keywords

backward stochastic differential equations Euler method \(L^2\) regularity convergence in mean-square

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

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