A multi-step scheme based on cubic spline for solving backward stochastic differential equations (Q2301282)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A multi-step scheme based on cubic spline for solving backward stochastic differential equations |
scientific article |
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A multi-step scheme based on cubic spline for solving backward stochastic differential equations (English)
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24 February 2020
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backward stochastic differential equations
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multi-step scheme
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cubic splines
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time-space grid
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Gauss-Hermite quadrature rule
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