A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations.

Weidong Zhao Lifeng Chen Shige Peng

Published in: SIAM J. Sci. Comput. (2006)

Keyphrases

stochastic differential equations
numerical methods
brownian motion
differential equations
maximum a posteriori estimation
partial differential equations
additive gaussian noise
fractional brownian motion
level set method
image compression
steady state
boundary element method