Mean-square convergence of numerical approximations for a class of backward stochastic differential equations

DOI10.3934/DCDSB.2013.18.2051zbMath1276.60072OpenAlexW2322386831MaRDI QIDQ379046

Chuchu Chen, Jialin Hong

Publication date: 12 November 2013

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2013.18.2051

zbMATH Keywords

backward stochastic differential equationsmean-square order of convergence

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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