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An efficient numerical method for forward-backward stochastic differential equations driven by G-Brownian motion

Hu, MS; Jiang, LZ

Jiang, LZ (corresponding author), Shandong Univ, Zhongtai Secur Inst Financial Studies, Jinan 250100, Shandong, Peoples R China.

APPLIED NUMERICAL MATHEMATICS, 2021; 165 (): 578

Abstract

In this paper, we study the numerical method for solving forward-backward stochastic differential equations driven by G-Brownian motion (G-FBSDEs) whi......

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