Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth

DOI10.1214/17-AAP1366arXiv1607.06733MaRDI QIDQ6275839

Gonçalo dos Reis, Lukasz Szpruch, Arnaud Lionnet

Publication date: 22 July 2016

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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