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Numerical methods for forward-backward stochastic differential equations

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References

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Cited by

2002Numberical Method for Backward Stochastic Differential Equations154 cited
2006A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations151 cited
2007Discrete-time approximation of decoupled Forward–Backward SDE with jumps140 cited
2006A forward–backward stochastic algorithm for quasi-linear PDEs136 cited
2006Numerical Algorithms for Forward-Backward Stochastic Differential Equations111 cited
2001Donsker-Type Theorem for BSDEs108 cited
2014New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations107 cited
2006Time discretization and Markovian iteration for coupled FBSDEs106 cited
2010A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations95 cited
2005

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On some recent aspects of stochastic control and their applications

92 cited

2012Least-Squares Monte Carlo for Backward SDEs85 cited

1999Linear ForwardBackward Stochastic Differential Equations84 cited

2008Time discretization and Markovian iteration for coupled FBSDEs84 cited

2015BSDE, path-dependent PDE and nonlinear Feynman-Kac formula83 cited

2008On Numerical Approximations of Forward-Backward Stochastic Differential Equations73 cited

2009Error estimates of the $\theta$-scheme for backward stochastic differentialequations58 cited