An efficient third-order scheme for BSDEs based on nonequidistant difference scheme

DOI10.1007/s11075-019-00822-7zbMath1462.65012arXiv1808.01564OpenAlexW3102500828MaRDI QIDQ2200790

Chol-Kyu Pak, Mun-Chol Kim, Chang-Ho Rim

Publication date: 22 September 2020

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.01564

zbMATH Keywords

backward stochastic differential equationsGauss-Hermite quadraturethird-order scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Numerical methods for backward stochastic differential equations: a survey ⋮ High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion

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