Related references
Note: Only part of the references are listed.Stability analysis of general multistep methods for Markovian backward stochastic differential equations
Xiao Tang et al.
IMA JOURNAL OF NUMERICAL ANALYSIS (2022)
SINC-? SCHEMES FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
Xu Wang et al.
SIAM JOURNAL ON NUMERICAL ANALYSIS (2022)
A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations
Ying Liu et al.
ADVANCES IN APPLIED MATHEMATICS AND MECHANICS (2020)
A UNIFIED PROBABILISTIC DISCRETIZATION SCHEME FOR FBSDEs: STABILITY, CONSISTENCY, AND CONVERGENCE ANALYSIS
Jie Yang et al.
SIAM JOURNAL ON NUMERICAL ANALYSIS (2020)
NUMERICAL STABILITY ANALYSIS OF THE EULER SCHEME FOR BSDES
Jean-Francois Chassagneux et al.
SIAM JOURNAL ON NUMERICAL ANALYSIS (2015)
A FOURIER COSINE METHOD FOR AN EFFICIENT COMPUTATION OF SOLUTIONS TO BSDEs
M. J. Ruijter et al.
SIAM JOURNAL ON SCIENTIFIC COMPUTING (2015)
RUNGE-KUTTA SCHEMES FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
Jean-Francois Chassagneux et al.
ANNALS OF APPLIED PROBABILITY (2014)
LINEAR MULTISTEP SCHEMES FOR BSDEs
Jean-Francois Chassagneux
SIAM JOURNAL ON NUMERICAL ANALYSIS (2014)
NEW KINDS OF HIGH-ORDER MULTISTEP SCHEMES FOR COUPLED FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
Weidong Zhao et al.
SIAM JOURNAL ON SCIENTIFIC COMPUTING (2014)
A numerical algorithm for a class of BSDEs via the branching process
Pierre Henry-Labordere et al.
STOCHASTIC PROCESSES AND THEIR APPLICATIONS (2014)
A GENERALIZED θ-SCHEME FOR SOLVING BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
Weidong Zhao et al.
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B (2012)
A STABLE MULTISTEP SCHEME FOR SOLVING BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
Weidong Zhao et al.
SIAM JOURNAL ON NUMERICAL ANALYSIS (2010)
ERROR ESTIMATES OF THE θ-SCHEME FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS
Weidong Zhao et al.
DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B (2009)
High Order Strong Stability Preserving Time Discretizations
Sigal Gottlieb et al.
JOURNAL OF SCIENTIFIC COMPUTING (2009)
Error expansion for the discretization of backward stochastic differential equations
Emmanuel Gobet et al.
STOCHASTIC PROCESSES AND THEIR APPLICATIONS (2007)
Risk measures via g-expectations
Emanuela Rosazza Gianin
INSURANCE MATHEMATICS & ECONOMICS (2006)
A forward-backward stochastic algorithm for quasi-linear PDEs
F Delarue et al.
ANNALS OF APPLIED PROBABILITY (2006)
A new kind of accurate numerical method for backward stochastic differential equations
Weidong Zhao et al.
SIAM JOURNAL ON SCIENTIFIC COMPUTING (2006)
Numerical algorithms for forward-backward stochastic differential equations
G. N. Milstein et al.
SIAM JOURNAL ON SCIENTIFIC COMPUTING (2006)
A regression-based Monte Carlo method to solve backward stochastic differential equations
E Gobet et al.
ANNALS OF APPLIED PROBABILITY (2005)
A numerical scheme for BSDEs
JF Zhang
ANNALS OF APPLIED PROBABILITY (2004)
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
B Bouchard et al.
STOCHASTIC PROCESSES AND THEIR APPLICATIONS (2004)
Non-linear evolution using optimal fourth-order strong-stability-preserving Runge-Kutta methods
RJ Spiteri et al.
MATHEMATICS AND COMPUTERS IN SIMULATION (2003)
A new class of optimal high-order strong-stability-preserving time discretization methods
RJ Spiteri et al.
SIAM JOURNAL ON NUMERICAL ANALYSIS (2002)
Strong stability-preserving high-order time discretization methods
S Gottlieb et al.
SIAM REVIEW (2001)
Share Paper
