A Fully Quantization-based Scheme for FBSDEs
From MaRDI portal
Publication:6368050
DOI10.1016/j.amc.2022.127666zbMath1511.65011arXiv2105.09276MaRDI QIDQ6368050
Martino Grasselli, Alessandro Gnoatto, Giorgia Callegaro
Publication date: 7 May 2021
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical analysis or methods applied to Markov chains (65C40) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)
This page was built for publication: A Fully Quantization-based Scheme for FBSDEs