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赵卫东. 正倒向随机微分方程组的数值解法[J]. 计算数学, 2015, 37(4): 337-373.
Zhao Weidong. Numerical methods for forward backward stochastic differential equations[J]. Mathematica Numerica Sinica, 2015, 37(4): 337-373.
Zhao Weidong
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A second-order numerical scheme for decoupled forwardbackward stochastic differential equations with jumps. submitted, 2015. |
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