A generalized -scheme for solving backward stochastic differential equations
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A generalized \(\theta\)-scheme for solving backward stochastic differential equations
A generalized \(\theta\)-scheme for solving backward stochastic differential equations
backward stochastic differential equationserror estimatesecond ordernumerical tests\(\theta\)-scheme
Probabilistic models, generic numerical methods in probability and statistics (65C20) 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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- Explicit high order one-step methods for decoupled forward backward stochastic differential equations
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