A convolution method for numerical solution of backward stochastic differential equations (Q518855): Difference between revisions
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| Property / Mathematics Subject Classification ID: 65C30 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G80 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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| Property / zbMATH DE Number: 6698220 / rank | |||
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backward stochastic differential equations | |||
| Property / zbMATH Keywords: backward stochastic differential equations / rank | |||
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numerical approximation | |||
| Property / zbMATH Keywords: numerical approximation / rank | |||
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convolution method | |||
| Property / zbMATH Keywords: convolution method / rank | |||
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fast Fourier transform | |||
| Property / zbMATH Keywords: fast Fourier transform / rank | |||
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parabolic PDE | |||
| Property / zbMATH Keywords: parabolic PDE / rank | |||
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option valuation | |||
| Property / zbMATH Keywords: option valuation / rank | |||
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Revision as of 04:51, 1 July 2023
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)
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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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