most citedNumerical methods for backward stochastic differential equations: A survey

34 citations · 34 across the 1 of their papers we have counts for

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math.NA2021★ 34 cited

Numerical methods for backward stochastic differential equations: A survey

Jared Chessari, Reiichiro Kawai, Yuji Shinozaki +1

Backward Stochastic Differential Equations (BSDEs) have been widely employed in various areas of social and natural sciences, such as the pricing and hedging of financial derivativ…