We study the strong approximation of a backward SDE with finite stopping time horizon, namely the first exit time of a forward SDE from a cylindrical domain. We use the Euler scheme approach of ...

For the initial value problem associated with second order advanced differential equation on Banach space, it is constructed a numerical method to approximate the solution. The method uses the ...

Stochastic differential equations (SDEs) are at the heart of modern financial modelling, providing a framework that accommodates the inherent randomness observed in financial markets. These equations ...