A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations
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Publication:2999838
DOI10.1137/09076979XzbMath1234.60068OpenAlexW2018023106MaRDI QIDQ2999838
Guannan Zhang, Lili Ju, Weidong Zhao
Publication date: 17 May 2011
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/09076979x
numerical stabilitybackward stochastic differential equationGauss-Hermite quadraturemultistep method
Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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