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Numerical Stability Analysis of the Euler Scheme for BSDEs
16 references·0 citing·33 second hop
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References

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  • 2012Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing84 cited

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  • 2002On the robustness of backward stochastic differential equations71 cited
  • 2004BSDE s with a random terminal time driven by a monotone generator and their links with PDE s65 cited
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