| Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs | |
| Li, Yang; Yang, Jie; Zhao, WeiDong | |
| 刊名 | 中国科学. 数学
 |
| 2017 | |
| 卷号 | 60期号:5页码:923-948 |
| 关键词 | convergence analysis Crank-Nicolson scheme decoupled forward backward stochastic differential equations Malliavin calculus trapezoidal rule |
| DOI | 10.1007/s11425-016-0178-8 |
| URL标识 | 查看原文 |
| 内容类型 | 期刊论文 |
| URI标识 | http://www.corc.org.cn/handle/1471x/4684421 |
| 专题 | 山东大学 |
| 作者单位 | 1.College of Science, University of Shanghai for Science and Technology, Shanghai 200093, China. 2.School of Mathematics, Shandong Un |
| 推荐引用方式 GB/T 7714 | Li, Yang,Yang, Jie,Zhao, WeiDong. Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs[J]. 中国科学. 数学,2017,60(5):923-948. |
| APA | Li, Yang,Yang, Jie,&Zhao, WeiDong.(2017).Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs.中国科学. 数学,60(5),923-948. |
| MLA | Li, Yang,et al."Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs".中国科学. 数学 60.5(2017):923-948. |
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