Multistep schemes for forward backward stochastic differential equations with jumps

DOI10.1007/s10915-016-0212-yzbMath1368.60072OpenAlexW2343510531MaRDI QIDQ2014031

Yu Fu, Tao Zhou, Weidong Zhao

Publication date: 10 August 2017

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-016-0212-y

zbMATH Keywords

jump-diffusion processmultistep schemeforward-backward stochastic differential equation with jumps

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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