A fully quantization-based scheme for FBSDEs

DOI10.1016/j.amc.2022.127666OpenAlexW3159509978MaRDI QIDQ2101958

Alessandro Gnoatto, Giorgia Callegaro, Martino Grasselli

Publication date: 7 December 2022

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2105.09276

zbMATH Keywords

quantizationnumerical schemeFBSDEs

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

Related Items (1)

Numerical methods for backward stochastic differential equations: a survey

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