Multistep schemes for forward backward stochastic differential equations with jumps

DOI10.1007/s10915-016-0212-yzbMath1368.60072MaRDI QIDQ2014031

Weidong Zhao, Yu Fu, Tao Zhou

Publication date: 10 August 2017

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-016-0212-y

zbMATH Keywords

jump-diffusion process; multistep scheme; forward-backward stochastic differential equation with jumps

Mathematics Subject Classification ID

65C20: Probabilistic models, generic numerical methods in probability and statistics

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)