Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes (Q2364743)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes |
scientific article |
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Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes (English)
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25 July 2017
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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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