A sparse-grid method for multi-dimensional backward stochastic differential equations
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backward stochastic differential equationsGauss-Hermite quadrature rulemulti-step schemesparse grids
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50)
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- Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
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- Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs
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