"A second-order discretization for forward-backward SDEs using local ..."

Riu Naito, Toshihiro Yamada (2019)

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DOI: 10.1515/MCMA-2019-2053

access: closed

type: Journal Article

metadata version: 2020-07-03

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Riu Naito, Toshihiro Yamada:
A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus. Monte Carlo Methods Appl. 25(4): 341-361 (2019)

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