A Numerical Method and its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations

DOI10.4208/cicp.280113.190813aOpenAlexW2328323135MaRDI QIDQ5372213

Weidong Zhao, Wei Zhang, Lili Ju

Publication date: 27 October 2017

Published in: Communications in Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/cicp.280113.190813a

Mathematics Subject Classification ID

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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