A new kind of accurate numerical method for backward stochastic differential equations

SIAM Journal on Scientific Computing

Volumn 28, Issue 4, 2006, Pages 1563-1581

  Zhao, Weidong ^a   Chen, Lifeng ^a   Peng, Shige ^a  

^a SHANDONG UNIVERSITY   (China)

Author keywords

Backward stochastic differential equations; Monte Carlo method; Time space discretization

Indexed keywords

APPROXIMATION THEORY; COMPUTER SIMULATION; INTERPOLATION; MONTE CARLO METHODS; NUMERICAL METHODS; STOCHASTIC CONTROL SYSTEMS;

BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; SPACE INTERPOLATIONS; TIME-SPACE DISCRETIZATION;

DIFFERENTIAL EQUATIONS;

EID: 34547176166     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/05063341X     Document Type: Article

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