Numerical approximation of singular forward-backward SDEs
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Publication:2168288
DOI10.1016/j.jcp.2022.111459OpenAlexW3176243905WikidataQ114163235 ScholiaQ114163235MaRDI QIDQ2168288
Mohan Yang, Jean-François Chassagneux
Publication date: 31 August 2022
Published in: Journal of Computational Physics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2106.15496
Stochastic analysis (60Hxx) Actuarial science and mathematical finance (91Gxx) Probabilistic methods, stochastic differential equations (65Cxx)
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