Numerical Stability Analysis of the Euler Scheme for BSDEs.

Jean-François Chassagneux Adrien Richou

Published in: SIAM J. Numer. Anal. (2015)

Keyphrases

stability analysis
stochastic differential equations
maximum a posteriori estimation
nonlinear systems
brownian motion
additive gaussian noise
fractional brownian motion
differential equations
long range
machine learning