A forward scheme for backward SDEs

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DOI10.1016/j.spa.2007.03.005zbMath1131.60054OpenAlexW2046331573MaRDI QIDQ2464848

Christian Bender, Robert Denk

Publication date: 17 December 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-22297

zbMATH Keywords

convergence Monte Carlo simulation numerics finance backward SDE

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Numerical solutions to stochastic differential and integral equations (65C30)

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