A convolution method for numerical solution of backward stochastic differential equations (Q518855): Difference between revisions
From MaRDI portal
Latest revision as of 14:07, 13 July 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A convolution method for numerical solution of backward stochastic differential equations |
scientific article |
Statements
A convolution method for numerical solution of backward stochastic differential equations (English)
0 references
30 March 2017
0 references
backward stochastic differential equations
0 references
numerical approximation
0 references
convolution method
0 references
fast Fourier transform
0 references
parabolic PDE
0 references
option valuation
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references