A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
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Publication:5296055
DOI10.1137/05063341XzbMath1121.60072OpenAlexW2005018490MaRDI QIDQ5296055
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Publication date: 31 July 2007
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/05063341x
Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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