A forward - Backward stochastic algorithm for quasi-linear PDES

Annals of Applied Probability

Volumn 16, Issue 1, 2006, Pages 140-184

  Delarue, François ^a   Menozzi, Stéphane ^a  

^a UNIVERSITÉ PARIS DESCARTES   (France)

Author keywords

Discretization scheme; FBSDEs; Quantization; Quasi linear PDEs

Indexed keywords

EID: 33645699121     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051605000000674     Document Type: Article

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