"A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, ..."

Jie Yang, Weidong Zhao, Tao Zhou (2020)

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DOI: 10.1137/19M1260177

access: closed

type: Journal Article

metadata version: 2022-05-03

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Jie Yang, Weidong Zhao, Tao Zhou:
A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis. SIAM J. Numer. Anal. 58(4): 2351-2375 (2020)

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