Multi-stage Euler–Maruyama methods for backward stochastic differential equations driven by continuous-time Markov chains
Author:
Funder
Japan Science and Technology Corporation
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s13160-024-00649-3.pdf
Reference55 articles.
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5. Bismut, J.M.: An introductory approach to duality in optimal stochastic control. SIAM Rev. 20(1), 62–78 (1978). https://doi.org/10.1137/1020004
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