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Pardoux, E. and Peng, S. (1990) Adapted Solution of a Backward Stochastic Differntial Equation. Systems & Control Letters, 14, 55-61. http://dx.doi.org/10.1016/0167-6911(90)90082-6
has been cited by the following article:
TITLE: A New Second Order Numerical Scheme for Solving Forward Backward Stochastic Differential Equations with Jumps
AUTHORS: Hongqiang Zhou, Yang Li, Zhe Wang
KEYWORDS: Numerical Scheme, Error Estimates, Backward Stochastic Differential Equations
JOURNAL NAME: Applied Mathematics, Vol.7 No.12, July 29, 2016
ABSTRACT: In this paper, we propose a new second order numerical scheme for solving backward stochastic differential equations with jumps with the generator linearly depending on . And we theoretically prove that the convergence rates of them are of second order for solving and of first order for solving and in norm.
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