Results 141 to 145 of about 2,761 (145)

An Explicit Second Order Scheme for Decoupled Anticipated Forward Backward Stochastic Differential Equations

, 2020
The Feynman-Kac formula and the Lagrange interpolation method are used in the construction of an explicit second order scheme for decoupled anticipated forward backward stochastic differential equations.
Yabing Zhao
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A New Second-Order One-Step Scheme for Solving Decoupled FBSDES and Optimal Error Estimates

, 2020
A novel second-order numerical scheme for solving decoupled forward backward stochastic differential equations is proposed. Unlike known second-order schemes for such equations, the forward stochastic differential equations are approximated by a ...
Y. Li, Jie Yang, Weidong Zhao
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Numerical convergence of backward stochastic differential equation with non-Lipschitz coefficients

, 2015
In this paper, we propose a backward stochastic differential equation simulationbased estimator of the conditional expectation operator, and we prove that the approximated solution converges to the exact solution under non-Lipschitz condition ...
S. Falah, Jicheng Liu
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Edgeworth type expansions for Euler schemes for stochastic differential equations.

Monte Carlo Methods Appl., 2002
V. Konakov, E. Mammen
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Développement asymptotique de la densité d’une diffusion dégénérée

, 1992
R. Léandre
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