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

MaRDI QIDQ2854752zbMATHFDO

Authors V. P. Păun, E. Petrescu

Publication date 24 October 2013

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

Mathematics Subject Classification ID

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

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Cited in

(3)

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

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