Numerical Stability Analysis of the Euler Scheme for BSDEs
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Publication:5253605
DOI10.1137/140977047zbMath1311.93088arXiv1407.0887OpenAlexW1974555191MaRDI QIDQ5253605
Jean-François Chassagneux, Adrien Richou
Publication date: 27 May 2015
Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.0887
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probabilistic methods, stochastic differential equations (65C99)
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