Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
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Publication:2694433
DOI10.1515/jnma-2021-0111WikidataQ114052933 ScholiaQ114052933MaRDI QIDQ2694433
Martin Hutzenthaler, Tuan Anh Nguyen, Arnulf Jentzen, Thomas Kruse
Publication date: 3 April 2023
Published in: Journal of Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2108.10602
65C30: Numerical solutions to stochastic differential and integral equations