Strong approximations of BSDEs in a domain
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Publication:605887
DOI10.3150/08-BEJ181zbMath1204.60048arXiv0710.1519OpenAlexW2152068522MaRDI QIDQ605887
Bruno Bouchard, Stéphane Menozzi
Publication date: 15 November 2010
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0710.1519
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Related Items (6)
A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations ⋮ Numerical computation for backward doubly SDEs with random terminal time ⋮ Strong approximations of BSDEs in a domain ⋮ Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method ⋮ Stability of backward stochastic differential equations: the general Lipschitz case ⋮ Numerical schemes for multivalued backward stochastic differential systems
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