Second order approximation to stochastic differential equations for backward processes and Gaussian distributions

zbMATH Open1273.60071MaRDI QIDQ2854752FDOQ2854752

Authors: V. P. Păun, E. Petrescu 

Publication date: 24 October 2013

Published in: Romanian Journal of Physics (Search for Journal in Brave)

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Mathematics Subject Classification ID

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

Cited In (3)

• Second order backward SDE with random terminal time
• New Second-Order Schemes for Forward Backward Stochastic Differential Equations
• Forward and backward Markovian state space models of second order process

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