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

MaRDI QIDQ5225329zbMATH OpenFDO

Authors

Publication date 22 July 2019

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)

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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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