Second order discretization of backward SDEs and simulation with the cubature method

DOI10.1214/13-AAP932zbMath1303.60046arXiv1012.5650OpenAlexW1999483367MaRDI QIDQ2448692

Konstantinos Manolarakis, Dan Crisan

Publication date: 5 May 2014

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

Full work available at URL: https://arxiv.org/abs/1012.5650

zbMATH Keywords

numerical analysiscubature methodsbackward SDEssecond-order discretization

Mathematics Subject Classification ID

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)

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