Runge-Kutta schemes for backward stochastic differential equations

DOI10.1214/13-AAP933zbMath1303.60045arXiv1403.5394MaRDI 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

zbMATH Keywords

backward stochastic differential equations; Runge-Kutta methods; high-order discretization

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

34F05: Ordinary differential equations and systems with randomness

65C30: Numerical solutions to stochastic differential and integral equations

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