High-order combined multi-step scheme for solving forward backward stochastic differential equations (Q2028543)
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scientific article; zbMATH DE number 7353297
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High-order combined multi-step scheme for solving forward backward stochastic differential equations |
scientific article; zbMATH DE number 7353297 |
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High-order combined multi-step scheme for solving forward backward stochastic differential equations (English)
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1 June 2021
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forward backward stochastic differential equations
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multi-step scheme
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finite difference method
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time-space grid
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Gauss-Hermite quadrature rule
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