Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth
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Publication:1617135
DOI10.1214/17-AAP1366MaRDI QIDQ1617135
Lukasz Szpruch, Arnaud Lionnet, Gonçalo dos Reis
Publication date: 7 November 2018
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1607.06733
polynomial growthnumerical stabilitytime discretizationFBSDEmonotone drivermodified explicit schemesnonexplosion
Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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