Numerical Stability Analysis of the Euler Scheme for BSDEs

Jean-François Chassagneux, Adrien Richou

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DOI: 10.1137/140977047
Published: 2015-01
Container: SIAM Journal on Numerical Analysis
Publisher: Society for Industrial & Applied Mathematics (SIAM)
Open access: unknown

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Cite this work

BibTeX

@article{allodium:10.1137/140977047,
  title = {Numerical Stability Analysis of the Euler Scheme for BSDEs},
  author = {Jean-François Chassagneux and Adrien Richou},
  year = {2015},
  journal = {SIAM Journal on Numerical Analysis},
  doi = {10.1137/140977047},
  url = {https://doi.org/10.1137/140977047}
}

RIS

TY  - JOUR
TI  - Numerical Stability Analysis of the Euler Scheme for BSDEs
AU  - Jean-François Chassagneux
AU  - Adrien Richou
PY  - 2015
JO  - SIAM Journal on Numerical Analysis
DO  - 10.1137/140977047
UR  - https://doi.org/10.1137/140977047
ER  -

APA

Chassagneux, J., & Richou, A. (2015). Numerical Stability Analysis of the Euler Scheme for BSDEs. SIAM Journal on Numerical Analysis. https://doi.org/10.1137/140977047

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crossref · retrieved 2026-09-26T09:34:01.029Z