Runge-Kutta schemes for backward stochastic differential equations
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.
backward stochastic differential equations
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