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High-order combined Multi-step Scheme for solving forward Backward Stochastic Differential Equations - MaRDI portal

High-order combined Multi-step Scheme for solving forward Backward Stochastic Differential Equations

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Publication:6350435

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DOI10.1007/S10915-021-01505-ZarXiv2010.01222WikidataQ115382663 ScholiaQ115382663MaRDI QIDQ6350435

Long Teng, Weidong Zhao

Publication date: 2 October 2020

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)

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