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中国科学院数学与系统科学研究院机构知识库
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Xu Mingyu [1]
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2011 [1]
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NUMERICAL ALGORITHMS FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH 1-D BROWNIAN MOTION: CONVERGENCE AND SIMULATIONS
期刊论文
ESAIM-MATHEMATICAL MODELLING AND NUMERICAL ANALYSIS-MODELISATION MATHEMATIQUE ET ANALYSE NUMERIQUE, 2011, 卷号: 45, 期号: 2, 页码: 335-360
Authors:
Peng, Shige
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Xu, Mingyu
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Submit date：2018/07/30
Backward stochastic differential equations
reflected stochastic differential equations with one barrier
numerical algorithm
numerical simulation
