New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations
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Publication:2930007
DOI10.1137/130941274zbMath1316.65014arXiv1310.5307OpenAlexW1980091117MaRDI QIDQ2930007
Publication date: 17 November 2014
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1310.5307
diffusion processEuler methodnumerical experimenthigh ordermultistep schemecoupled Markovian forward backward stochastic differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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