Four step scheme for general Markovian forward-backward SDES
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems,Computer Science (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s11424-010-0145-8.pdf
Reference20 articles.
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4. J. Ma, P. Protter, and J. Yong, Solving forward-backward stochastic differential equations explicitly—a four step scheme, Prob. Theory & Rel. Fields, 1994, 98: 339–359.
5. J. Yong, Finding adapted solutions of forward-backward stochastic differential equations: Method of continuation, Probab. Theory Related Fields, 1997, 107: 537–572.
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