A multi-step scheme based on cubic spline for solving backward stochastic differential equations

DOI10.1016/j.apnum.2019.09.016zbMath1433.60041arXiv1809.00324OpenAlexW2978515965WikidataQ127179796 ScholiaQ127179796MaRDI QIDQ2301282

Long Teng, Aleksandr Lapitckii, Michael Günther

Publication date: 24 February 2020

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.00324

zbMATH Keywords

backward stochastic differential equationscubic splinesmulti-step schemeGauss-Hermite quadrature ruletime-space grid

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30)

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