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Numerical algorithms for forward-backward stochastic differential equations. (English) Zbl 1114.60054

MSC:
60H35 Computational methods for stochastic equations (aspects of stochastic analysis)
65C30 Numerical solutions to stochastic differential and integral equations
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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