Numerical approximation of singular forward-backward SDEs
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Publication:2168288
DOI10.1016/J.JCP.2022.111459OpenAlexW3176243905WikidataQ114163235 ScholiaQ114163235MaRDI QIDQ2168288FDOQ2168288
Authors: Jean-Francois Chassagneux, Mohan Yang 
Publication date: 31 August 2022
Published in: Journal of Computational Physics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2106.15496
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Actuarial science and mathematical finance (91Gxx) Stochastic analysis (60Hxx) Probabilistic methods, stochastic differential equations (65Cxx)
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