On the homotopy analysis method for backward/forward-backward stochastic differential equations
DOI10.1007/s11075-017-0268-2zbMath1377.65009arXiv1612.06091OpenAlexW2562772978MaRDI QIDQ1678593
Publication date: 17 November 2017
Published in: Numerical Algorithms (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.06091
computational complexityconvergencenumerical examplesforward-backward stochastic differential equationshomotopy analysis methodanalytic approximation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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) Complexity and performance of numerical algorithms (65Y20)
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