Runge-Kutta schemes for backward stochastic differential equations
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Publication:2448693
DOI10.1214/13-AAP933zbMath1303.60045arXiv1403.5394OpenAlexW3106010402MaRDI QIDQ2448693
Jean-François Chassagneux, 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/1403.5394
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical solutions to stochastic differential and integral equations (65C30)
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