On Numerical Approximations of Forward-Backward Stochastic Differential Equations.

Jin Ma Jie Shen Yanhong Zhao

Published in: SIAM J. Numer. Anal. (2008)

Keyphrases

forward backward
stochastic differential equations
maximum a posteriori estimation
hidden markov models
brownian motion
additive gaussian noise
fractional brownian motion
multiscale
pairwise
optimal control
constrained optimization
stochastic process
vector valued