most citedHigh order numerical schemes for second-order FBSDEs with applications to stochastic optimal control

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math.NA2015★ 1 cited

High order numerical schemes for second-order FBSDEs with applications to stochastic optimal control

Kong Tao, Weidong Zhao, Tao Zhou

This is one of our series papers on multistep schemes for solving forward backward stochastic differential equations (FBSDEs) and related problems. Here we extend (with non-trivial…