ODE-Based Multistep Schemes for Backward Stochastic Differential Equations
DOI10.4208/nmtma.oa-2023-0060OpenAlexW4387768497MaRDI QIDQ6191796
Publication date: 11 March 2024
Published in: Numerical Mathematics: Theory, Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4208/nmtma.oa-2023-0060
backward stochastic differential equationhigh order discretizationparabolic partial differential equationstrong stability preservinglinear multistep scheme
Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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