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A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis.

Jie YangWeidong ZhaoTao Zhou
Published in: SIAM J. Numer. Anal. (2020)
Keyphrases
  • convergence analysis
  • global convergence
  • bayesian networks
  • optimality conditions
  • newton method
  • dynamic programming
  • probabilistic model
  • global optimum
  • np hard
  • particle swarm optimization