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Latest revision as of 14:07, 13 July 2024

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A convolution method for numerical solution of backward stochastic differential equations
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    A convolution method for numerical solution of backward stochastic differential equations (English)
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    30 March 2017
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    backward stochastic differential equations
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    numerical approximation
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    convolution method
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    fast Fourier transform
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    parabolic PDE
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    option valuation
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