Simulation of BSDEs with jumps by Wiener chaos expansion
From MaRDI portal
Publication:271886
DOI10.1016/j.spa.2016.01.006zbMath1336.60138arXiv1502.05649OpenAlexW2126800238WikidataQ110235437 ScholiaQ110235437MaRDI QIDQ271886
Publication date: 20 April 2016
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1502.05649
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Error analysis and interval analysis (65G99)
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