Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations***

Author： Peng Shige   Xu Mingyu  

Publisher： Edp Sciences

E-ISSN： 1290-3841|45|2|335-360

ISSN： 0764-583x

Source： ESAIM: Mathematical Modelling and Numerical Analysis, Vol.45, Iss.2, 2011-01, pp. : 335-360

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