A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Computational Mathematics
Link
http://epubs.siam.org/doi/pdf/10.1137/05063341X
Reference24 articles.
1. Filtration stability of backward sde's
2. Error analysis of the optimal quantization algorithm for obstacle problems
3. Local Linearization method for the numerical solution of stochastic differential equations
4. Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
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