Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations

DOI10.4208/eajam.110417.070517azbMath1382.60092OpenAlexW2753549314MaRDI QIDQ4605728

Bo Gong, Weidong Zhao

Publication date: 27 February 2018

Published in: East Asian Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/dc467d113d40c6d20d6f635ca70fe98530e6bee3

zbMATH Keywords

error estimatefully discrete schemeforward backward stochastic differential equations

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

Sinc-Multistep Schemes for Forward Backward Stochastic Differential Equations, Numerical methods for backward stochastic differential equations: a survey, ODE-Based Multistep Schemes for Backward Stochastic Differential Equations, High-Order Energy-Preserving Methods for Stochastic Poisson Systems

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