Sinc-$\theta$ Schemes for Backward Stochastic Differential Equations

DOI10.1137/21M1444679zbMath1506.65024WikidataQ115246849 ScholiaQ115246849MaRDI QIDQ5093638

Xu Wang, Tao Zhou, Weidong Zhao

Publication date: 29 July 2022

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

zbMATH Keywords

error estimatesbackward stochastic differential equationsconditional mathematical expectationSinc-\(\theta\) schemes

Mathematics Subject Classification ID

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)

Related Items (4)

Strong stability preserving multistep schemes for forward backward stochastic differential equations ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ A generalized finite element θ-scheme for backward stochastic partial differential equations and its error estimates ⋮ ODE-Based Multistep Schemes for Backward Stochastic Differential Equations

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