Runge-Kutta schemes for backward stochastic differential equations
type: Item
instance of: scholarly article
title: Runge-Kutta schemes for backward stochastic differential equations
zbMATH Open document ID: 1303.60045
DOI: 10.1214/13-AAP933
author: Jean-Francois Chassagneux
author: Dan Crisan
published in: The Annals of Applied Probability
publication date: 2014-05-05T00:00:00Z
full work available at URL: https://arxiv.org/abs/1403.5394
full work available at URL: https://projecteuclid.org/euclid.aoap/1394465369
review text: Runge-Kutta type schemes are presented for the approximation of solutions of backward stochastic differential equations of the form \[ Y_t= g(X_T)+ f(Y_t, Z_t)\,dt- \int^T_t Z_t\, dW_t, \] where \(W_t\) is a Brownian motion. Convergence properties of these schemes are specified and proved.
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 34F05
Mathematics Subject Classification ID: 65C30
zbMATH DE Number: 6291803
zbMATH Keywords: backward stochastic differential equations
zbMATH Keywords: high-order discretization
zbMATH Keywords: Runge-Kutta methods
reviewed by: Melvin D. Lax
MaRDI profile type: Publication
arXiv ID: 1403.5394
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description: scientific article