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Multistep Schemes for Forward Backward Stochastic Differential Equations with Jumps 期刊论文
JOURNAL OF SCIENTIFIC COMPUTING, 2016, 卷号: 69, 期号: 2, 页码: 651-672
作者:  Fu, Yu;  Zhao, Weidong;  Zhou, Tao
收藏  |  浏览/下载:125/0  |  提交时间:2018/07/30
Multistep scheme  Jump-diffusion process  Forward backward stochastic differential equation with jumps  
Probabilistic High Order Numerical Schemes for Fully Nonlinear Parabolic PDEs 期刊论文
COMMUNICATIONS IN COMPUTATIONAL PHYSICS, 2015, 卷号: 18, 期号: 5, 页码: 1482-1503
作者:  Kong, Tao;  Zhao, Weidong;  Zhou, Tao
收藏  |  浏览/下载:97/0  |  提交时间:2018/07/30
Fully nonlinear parabolic PDEs  second order FBSDEs  probabilistic interpretations  probabilistic numerical schemes