Continuity problem for BSDE and IPDE with singular terminal condition
DOI10.1016/j.jmaa.2024.128845MaRDI QIDQ6640879
Dorian Cacitti-Holland, Alexandre Popier, Laurent Denis
Publication date: 20 November 2024
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Riccati equationbackward stochastic differential equationintegro-partial differential equationsingular terminal conditionimplicit numerical scheme
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Integro-partial differential equations (45K05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Integro-partial differential equations (35R09)
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