Strong stability preserving multistep schemes for forward backward stochastic differential equations
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Publication:6101598
DOI10.1007/s10915-023-02111-xzbMath1516.65003MaRDI QIDQ6101598
Shuixin Fang, Weidong Zhao, Tao Zhou
Publication date: 20 June 2023
Published in: Journal of Scientific Computing (Search for Journal in Brave)
convergence analysisstability analysisstrong stability preservingforward backward stochastic differential equationslinear multistep schemes
Probabilistic models, generic numerical methods in probability and statistics (65C20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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