A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis

Jie Yang, Weidong Zhao, Tao Zhou. A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis. SIAM J. Numerical Analysis, 58(4):2351-2375, 2020. [doi]

Authors

Jie Yang

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Weidong Zhao

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Tao Zhou

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