Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations
DOI10.4208/aamm.OA-2020-0133zbMath1488.65018WikidataQ115211404 ScholiaQ115211404MaRDI QIDQ5157090
Publication date: 12 October 2021
Published in: Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)
finite difference approximationItô-Taylor expansionhigh order convergenceexplicit one-step methoddecoupled forward backward stochastic differential equations
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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Cites Work
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