Cubature method to solve BSDEs: Error expansion and complexity control

DOI10.1090/mcom/3522OpenAlexW3004659881MaRDI QIDQ4960079

Jean-François Chassagneux, Camilo Andrés García Trillos

Publication date: 8 April 2020

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.00999

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical quadrature and cubature formulas (65D32)

Related Items (7)

Numerical approximation of singular forward-backward SDEs ⋮ Product Markovian quantization of a diffusion process with applications to finance ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations ⋮ An overview on deep learning-based approximation methods for partial differential equations ⋮ Random walk approximation of BSDEs with Hölder continuous terminal condition ⋮ Mean square rate of convergence for random walk approximation of forward-backward SDEs

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