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Splitting Schemes for Backward Stochastic Differential Equations

International Journal of Numerical Analysis and Modeling
This paper concerns splitting methods for solving backward stochastic differential equations (BSDEs). By splitting the original $d$-dimensional BSDE into $d$ BSDEs and approximating these split BSDEs, we propose splitting schemes for the BSDE. The splitting schemes are rigorously analyzed and first-order error estimates are theoretically obtained ...
Zheng, Luying, Zhao, Weidong
openaire   +1 more source

Backward stochastic differential equations and integral-partial differential equations

Stochastic and Stochastics Reports, 1997
Guy Barlés, Rainer Buckdahn
exaly  

Backward equations, stochastic control and zero-sum stochastic differential games

Stochastic and Stochastics Reports, 1995
S Hamadène
exaly  

Zero-sum stochastic differential games and backward equations

Systems and Control Letters, 1995
S Hamadène
exaly  

Comparison Theorems of Backward Doubly Stochastic Differential Equations and Applications

Stochastic Analysis and Applications, 2005
Yufeng Shi
exaly  

Multidimensional backward stochastic differential equations with uniformly continuous coefficients

Bernoulli, 2003
Said Hamadène
exaly  

Anticipated backward stochastic differential equations

Annals of Probability, 2009
Shige Peng
exaly  

Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control

Annals of Probability, 2002
Marco Fuhrman
exaly  

A type of general forward-backward stochastic differential equations and applications

Chinese Annals of Mathematics Series B, 2011
Zhen Wu
exaly  

Backward stochastic differential equations

2016
openaire   +1 more source