A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations

Weidong Zhao, Guannan Zhang, Lili Ju. A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations. SIAM J. Numerical Analysis, 48(4):1369-1394, 2010. [doi]

Abstract

Abstract is missing.