Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis
DOI10.1007/S11464-014-0366-6zbMATH Open1329.60240OpenAlexW2044858806MaRDI QIDQ893337FDOQ893337
Authors: Wei Zhang, Weidong Zhao 
Publication date: 19 November 2015
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-014-0366-6
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time discretizationforward-backward stochastic differential equationsweak couplingEuler-type schemefirst-order error estimates
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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