SIAM Journal on Numerical Analysis, Vol. 27, No. 6 (Dec., 1990), pp. 1422-1444 (23 pages) Vector systems of parabolic partial differential equations in one space dimension are solved by an adaptive ...

Backward stochastic differential equations (BSDEs) have emerged as a pivotal mathematical tool in the analysis of complex systems across finance, physics and engineering. Their formulation, generally ...