TWO-STEP SCHEME FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

Han, Q; Ji, SL

Ji, SL (通讯作者),Shandong Univ, Zhongtai Secur Inst Financial Studies, Jinan 250100, Peoples R China.

JOURNAL OF COMPUTATIONAL MATHEMATICS, 2023; 41 (2): 287

Abstract

In this paper, a stochastic linear two-step scheme has been presented to approximate backward stochastic differential equations (BSDEs). A necessary a......

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