Numerical Algorithms for Forward-Backward Stochastic Differential Equations
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Publication:5470436
DOI10.1137/040614426zbMath1114.60054OpenAlexW2025245059MaRDI QIDQ5470436
M. V. Tretyakov, Grigori N. Milstein
Publication date: 30 May 2006
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/0c04f337a6bdf6835a60cf0b27ef636199cef061
numerical integrationforward-backward stochastic differential equationsmean-square convergencesemilinear partial differential equations of parabolic type
Applications of statistics to actuarial sciences and financial mathematics (62P05) 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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