Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes (Q2364743): Difference between revisions

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English	Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes	scientific article

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scholarly article

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Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes (English)

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Discrete and Continuous Dynamical Systems. Series B

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publication date

25 July 2017

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full work available at URL

https://arxiv.org/abs/1607.06897

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zbMATH Keywords

spectral method

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sparse grid approximations

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forward-backward stochastic differential equations

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conditional expectations

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fast Fourier transform

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MaRDI profile type

MaRDI publication profile

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High dimensional polynomial interpolation on sparse grids

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Time discretization and Markovian iteration for coupled FBSDEs

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Conjugate convex functions in optimal stochastic control

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Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

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Runge-Kutta schemes for backward stochastic differential equations

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Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

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Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing

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Numerical methods for forward-backward stochastic differential equations

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A probabilistic numerical method for fully nonlinear parabolic PDEs

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Multistep schemes for forward backward stochastic differential equations with jumps

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A monotone scheme for high-dimensional fully nonlinear PDEs

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Reflected solutions of backward SDE's, and related obstacle problems for PDE's

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Backward Stochastic Differential Equations in Finance

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Probabilistic High Order Numerical Schemes for Fully Nonlinear Parabolic PDEs

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High Order Numerical Schemes for Second-Order FBSDEs with Applications to Stochastic Optimal Control

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A regression-based Monte Carlo method to solve backward stochastic differential equations

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Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs

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Solving forward-backward stochastic differential equations explicitly -- a four step scheme

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On Numerical Approximations of Forward-Backward Stochastic Differential Equations

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Numerical Algorithms for Forward-Backward Stochastic Differential Equations

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A Sparse Grid Stochastic Collocation Method for Partial Differential Equations with Random Input Data

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Stochastic Collocation on Unstructured Multivariate Meshes

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Adapted solution of a backward stochastic differential equation

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Forward-backward stochastic differential equations and quasilinear parabolic PDEs

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Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

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A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs

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Efficient Spectral Sparse Grid Methods and Applications to High-Dimensional Elliptic Problems

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Efficient Spectral Sparse Grid Methods and Applications to High-Dimensional Elliptic Equations II. Unbounded Domains

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Wellposedness of second order backward SDEs

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Deferred Correction Methods for Forward Backward Stochastic Differential Equations

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High-Order Collocation Methods for Differential Equations with Random Inputs

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A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations

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A numerical scheme for BSDEs

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A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations

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New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations

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A generalized \(\theta\)-scheme for solving backward stochastic differential equations

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Error estimates of the \(\theta\)-scheme for backward stochastic differential equations

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A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations

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A Numerical Method and its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations

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A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.3934/DCDSB.2017174

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Sitelinks

Mathematics(1 entry)

mardi Publication:2364743

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