A First-Order Numerical Scheme for Forward-Backward Stochastic Differential Equations in Bounded Domains

DOI10.4208/jcm.1612-m2016-0582zbMath1413.65012OpenAlexW2792787422MaRDI QIDQ4688172

Guannan Zhang, Weidong Zhao, Jie Yang

Publication date: 22 October 2018

Published in: Journal of Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/5b73e097f57d1756f1452067d1fa400198875583

zbMATH Keywords

Dirichlet boundary conditionsexit timeforward-backward stochastic differential equationsimplicit Euler scheme

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)

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