Numerical Algorithms for Forward-Backward Stochastic Differential Equations

Efficient numerical algorithms are proposed for a class of forward-backward stochastic differential equations (FBSDEs) connected with semilinear parabolic partial differential equations. As in [J. Douglas, Jr., J. Ma, and P. Protter, Ann. Appl. Probab., 6 (1996), pp. 940-968], the algorithms are bas...

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Veröffentlicht in:	SIAM journal on scientific computing 2006-01, Vol.28 (2), p.561-582
Hauptverfasser:	Milstein, G. N., Tretyakov, M. V.
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Applied mathematics Approximation Boundary value problems Cauchy problems Stochastic control theory
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