Four step scheme for general Markovian forward-backward SDEs

DOI10.1007/s11424-010-0145-8zbMath1217.60056OpenAlexW1989010706MaRDI QIDQ601070

Jiong-min Yong, Yanhong Zhao, Jin Ma

Publication date: 3 November 2010

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-010-0145-8

zbMATH Keywords

forward-backward stochastic differential equationsfour step schemeparabolic integro-partial differential equationsstrong Markov semi-martingales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

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