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Results on numerics for FBSDE with drivers of quadratic growth
backward stochastic differential equation BSDE forwardbackward
2010/10/19
We consider the problem of numerical approximation for forward-backward stochastic differential equations with drivers of quadratic growth (qgFBSDE). To illustrate the significance of qgFBSDE, we disc...
Results on numerics for FBSDE with drivers of quadratic growth
backward stochastic differential equation BSDE forward-backward stochastic differential equation
2010/4/28
We consider the problem of numerical approximation for forward-backward stochastic differential equations with drivers of quadratic growth (qgFBSDE). To illustrate the significance of qgFBSDE, we disc...