On the speed of convergence of Picard iterations of backward stochastic differential equations
DOI10.3934/puqr.2022009zbMath1493.60091arXiv2107.01840OpenAlexW3180698388MaRDI QIDQ2165738
Thomas Kruse, Martin Hutzenthaler, Tuan Anh Nguyen
Publication date: 22 August 2022
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2107.01840
a priori estimatebackward stochastic differential equationPicard iterationsemilinear parabolic partial differential equation
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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