We design a numerical scheme for solving a Dynamic Programming equation with Malliavin weights arising from the time-discretization of backward stochastic differential equations with the integration ...
The solution u(t, x) of a parabolic stochastic partial differential equation is a random element of the space E α,β of Holder continuous functions on [ 0, T ] × [ 0, 1 ] of order α = 1/4 - ε in the ...
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