Numerical Algorithms for Forward-Backward Stochastic Differential Equations
type: Item
instance of: scholarly article
title: Numerical Algorithms for Forward-Backward Stochastic Differential Equations
zbMATH Open document ID: 1114.60054
DOI: 10.1137/040614426
author: M. V. Tretyakov
author: Grigori N. Milstein
published in: SIAM Journal on Scientific Computing
publication date: 2006-05-30T00:00:00Z
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 5029207
zbMATH Keywords: forward-backward stochastic differential equations
zbMATH Keywords: numerical integration
zbMATH Keywords: mean-square convergence
zbMATH Keywords: semilinear partial differential equations of parabolic type
MaRDI profile type: Publication
OpenAlex ID: W2025245059
description: scientific article; zbMATH DE number 5029207