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Error expansion for the discretization of backward stochastic differential equations · Study

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ArticleError expansion for the discretization of backward stochastic differential equations

Emmanuel Gobet A2006

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Articlebronze2006

Error expansion for the discretization of backward stochastic differential equations

Emmanuel Gobet A · Céline Labart

108 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Numerical methods for differential equations Fuzzy Systems and Optimization

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References

2005Stochastic Integration and Differential Equations 1990Adapted solution of a backward stochastic differential equation 2006The Malliavin Calculus and Related Topics 1997Backward Stochastic Differential Equations in Finance 1995The Malliavin Calculus and Related Topics 1990Stochastic Integration and Differential Equations 1997Stochastic Analysis 2007Forward-Backward Stochastic Differential Equations and their Applications

Cited by

2010A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations 2012Least-Squares Monte Carlo for Backward SDEs 2015Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions 2014Simulation of BSDEs by Wiener chaos expansion 2014Linear Multistep Schemes for BSDEs 2009Error estimates of the $\theta$-scheme for backward stochastic differentialequations

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Year2006

Typearticle

Published2006-11-14

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations108

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2006.10.007

openalex_workW2012285732

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