On Numerical Approximations of Forward-Backward Stochastic Differential Equations
type: Item
instance of: scholarly article
title: On Numerical Approximations of Forward-Backward Stochastic Differential Equations
zbMATH Open document ID: 1177.60064
DOI: 10.1137/06067393X
author: Jin Ma
author: Jie Shen
author: Yanhong Zhao
published in: SIAM Journal on Numerical Analysis
publication date: 2009-11-06T00:00:00Z
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 34F05
Mathematics Subject Classification ID: 93E03
zbMATH DE Number: 5626443
zbMATH Keywords: forward-backward stochastic differential equations
zbMATH Keywords: four step scheme
zbMATH Keywords: Hermite-spectral method
zbMATH Keywords: convergence rate
MaRDI profile type: Publication
full work available at URL: 06067393x
OpenAlex ID: W2033093836
description: scientific article