Two-Step Scheme for Backward Stochastic Differential Equations

DOI10.4208/JCM.2112-M2019-0289OpenAlexW4309030573WikidataQ117217805 ScholiaQ117217805MaRDI QIDQ5881315

Qiang Han, Shaolin Ji

Publication date: 9 March 2023

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

Full work available at URL: https://doi.org/10.4208/jcm.2112-m2019-0289

zbMATH Keywords

backward stochastic differential equationlocal truncation errorstability and convergencestochastic linear two-step scheme

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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