Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations

DOI10.1051/m2an/2010059zbMath1269.65008arXivmath/0611864OpenAlexW2078286993MaRDI QIDQ2839115

Mingyu Xu, Shige Peng

Publication date: 4 July 2013

Published in: ESAIM: Mathematical Modelling and Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0611864

zbMATH Keywords

algorithmconvergencenumerical examplesBrownian motionbackward stochastic differential equationsreflected stochastic differential equations with one barrier

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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