A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids (Q5047144)
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scientific article; zbMATH DE number 7614444
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids |
scientific article; zbMATH DE number 7614444 |
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A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids (English)
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9 November 2022
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backward stochastic difference equations
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sparse grids
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piecewise linear interpolation
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Gauss-Hermite quadrature
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