Second order discretization of backward SDEs and simulation...

The Annals of Applied Probability 2014 / 04 Vol. 24; Iss. 2

Second order discretization of backward SDEs and simulation with the cubature method

Crisan, Dan, Manolarakis, Konstantinos
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Volume:
24
Language:
english
Journal:
The Annals of Applied Probability
DOI:
10.1214/13-aap932
Date:
April, 2014
File:
PDF, 332 KB
english, 2014
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