A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis

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Publication:5123988

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




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