Numerical method for backward stochastic differential equations
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Publication:1872402
DOI10.1214/aoap/1015961165zbMath1017.60074OpenAlexW2039366144MaRDI QIDQ1872402
Soledad Torres, Jaime San Martín, Jin Ma, Philip E. Protter
Publication date: 6 May 2003
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1015961165
Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)
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