Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions

DOI10.1214/EJP.v20-3022zbMath1322.60139arXiv1309.4378MaRDI QIDQ2515917

Plamen Turkedjiev

Publication date: 7 August 2015

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.4378

zbMATH Keywords

representation theorema priori estimatesMalliavin calculusbackward stochastic differential equationsapproximation schemes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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