Publication:4357509
From MaRDI portal
zbMath0889.60068MaRDI QIDQ4357509
Publication date: 25 September 1997
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65C99: Probabilistic methods, stochastic differential equations
Related Items
Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations, A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis, L2-regularity result for solutions of backward doubly stochastic differential equations, A First Order Scheme for Backward Doubly Stochastic Differential Equations, A first order semi-discrete algorithm for backward doubly stochastic differential equations, Euler time discretization of backward doubly SDEs and application to semilinear SPDEs, BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness, A probabilistic numerical method for fully nonlinear parabolic PDEs, Malliavin calculus for backward stochastic differential equations and application to numerical solutions, A new numerical method for 1-D backward stochastic differential equations without using conditional expectations, Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis, On the homotopy analysis method for backward/forward-backward stochastic differential equations, A regression-based numerical scheme for backward stochastic differential equations, One order numerical scheme for forward-backward stochastic differential equations, Numerical method for backward stochastic differential equations, A numerical scheme for backward doubly stochastic differential equations, An implicit numerical scheme for a class of backward doubly stochastic differential equations, Random walk approximation of BSDEs with Hölder continuous terminal condition, A multi-step scheme based on cubic spline for solving backward stochastic differential equations, A Monte Carlo method for backward stochastic differential equations with Hermite martingales, Simulation of BSDEs by Wiener chaos expansion, A forward scheme for backward SDEs, Discretization of backward semilinear stochastic evolution equations, A regression-based Monte Carlo method to solve backward stochastic differential equations, Least-Squares Monte Carlo for Backward SDEs