Cubature method to solve BSDEs: Error expansion and complexity control

DOI10.1090/MCOM/3522OpenAlexW3004659881MaRDI QIDQ4960079FDOQ4960079

Jean-Francois Chassagneux, Camilo Andrés García Trillos

Publication date: 8 April 2020

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.00999

Mathematics Subject Classification ID

Numerical quadrature and cubature formulas (65D32) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (10)

• A gradient method for high-dimensional BSDEs
• Product Markovian quantization of a diffusion process with applications to finance
• Richardson extrapolation of the Crank-Nicolson scheme for backward stochastic differential equations
• Mean square rate of convergence for random walk approximation of forward-backward SDEs
• An overview on deep learning-based approximation methods for partial differential equations
• Random walk approximation of BSDEs with Hölder continuous terminal condition
• Numerical approximation of singular forward-backward SDEs
• Numerical methods for backward stochastic differential equations: a survey
• Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
• Cubature methods to solve BSDEs: Error expansion and complexity control

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