Numerical schemes for forward backward stochastic differential equations

来源 :The Third IMS-China International Conference on Statistics a | 被引量 : 0次 | 上传用户：shelllbw

【摘要】

：

　　A brief review of our numerical schemes for solving backward stochastic differential equations (BSDEs) and decoupled forward-backward stochastic differentia

【作者】

：

WeidongZhao;YangLi;

【机构】

：

Shandong University 27 Shanda Nanlu,Jinan, Shandong 250100, China

【出处】

：

The Third IMS-China International Conference on Statistics a

【发表日期】

：

2011年期

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论文部分内容阅读

　　A brief review of our numerical schemes for solving backward stochastic differential equations (BSDEs) and decoupled forward-backward stochastic differential equations (FBSDEs) is given.We also introduce some of our new accurate schemes for solving BSDEs and FBSDEs, and error estimate and convergence rate results of the schemes.

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Numerical schemes for forward backward stochastic differential equations

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