Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes

DOI10.3934/dcdsb.2017174zbMath1368.60071arXiv1607.06897OpenAlexW2963188648MaRDI QIDQ2364743

Yu Fu, Weidong Zhao, Tao Zhou

Publication date: 25 July 2017

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.06897

zbMATH Keywords

fast Fourier transformspectral methodconditional expectationsforward-backward stochastic differential equationssparse grid approximations

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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