Error expansion for the discretization of backward stochastic differential equations
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Publication:886110
DOI10.1016/j.spa.2006.10.007zbMath1117.60058arXivmath/0602503OpenAlexW2012285732MaRDI QIDQ886110
Publication date: 26 June 2007
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0602503
Malliavin calculusbackward stochastic differential equationsemi-linear parabolic PDEdiscretization scheme
Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Error analysis and interval analysis (65G99)
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