A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis
DOI10.1137/19M1260177zbMath1454.60106OpenAlexW3059438955MaRDI QIDQ5123988
Jie Yang, Weidong Zhao, Tao Zhou
Publication date: 17 September 2020
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/19m1260177
stabilityconvergence analysisconsistencynumerical schemesforward backward stochastic differential equations
Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic stability in control theory (93E15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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