Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations
DOI10.1093/imanum/drl019zbMath1109.65009OpenAlexW2023088894MaRDI QIDQ3417898
M. V. Tretyakov, Grigori N. Milstein
Publication date: 31 January 2007
Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/imanum/drl019
numerical experimentsstochastic differential equationsMonte Carlo methodsfinite differencesmean square convergencequasi-linear parabolic partial differential equationsforward-backward equations
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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