Numerical methods for certain classes of Markovian backward stochastic differential equations and quasi-linear parabolic partial differential equations via Girsanov's theorem

zbMATH Open1438.60081MaRDI QIDQ5225329FDOQ5225329

Authors:

Publication date: 22 July 2019

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zbMATH Keywords

Monte Carlo simulationbackward stochastic differential equationsparabolic partial differential equationsGirsanov's theoremdiscrete time approximationFeynman-Kac's formula

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cited In (1)

• On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

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