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Numerical approximation of singular Forward-Backward SDEs - MaRDI portal

Numerical approximation of singular Forward-Backward SDEs

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Publication:6371560

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DOI10.1016/j.jcp.2022.111459arXiv2106.15496WikidataQ114163235 ScholiaQ114163235MaRDI QIDQ6371560

Jean-François Chassagneux, Mohan Yang

Publication date: 29 June 2021

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Actuarial science and mathematical finance (91Gxx) Probabilistic methods, stochastic differential equations (65Cxx)

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