An Explicit Second Order Scheme for Decoupled Anticipated Forward Backward Stochastic Differential Equations
DOI10.4208/eajam.271119.200220zbMath1472.60114OpenAlexW3034653771MaRDI QIDQ4986617
Publication date: 27 April 2021
Published in: Unnamed Author (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4208/eajam.271119.200220
error estimateexplicit schemesecond order convergenceanticipated forward backward stochastic differential equations
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)
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Cites Work
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