A multi-step scheme based on cubic spline for solving backward stochastic differential equations (Q2301282)
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scientific article
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| English | A multi-step scheme based on cubic spline for solving backward stochastic differential equations |
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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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0.9199315
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0.8975554
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0.8889072
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0.88818324
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0.88663447
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0.88448834
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