A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids
DOI10.14495/JSIAML.14.104OpenAlexW4290963705MaRDI QIDQ5047144FDOQ5047144
Authors: Akihiro Kaneko 
Publication date: 9 November 2022
Published in: JSIAM Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.14495/jsiaml.14.104
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backward stochastic difference equationssparse gridsGauss-Hermite quadraturepiecewise linear interpolation
Numerical analysis or methods applied to Markov chains (65C40) Numerical methods for difference equations (65Q10) Numerical approximation of high-dimensional functions; sparse grids (65D40)
Cites Work
- High dimensional integration of smooth functions over cubes
- High dimensional polynomial interpolation on sparse grids
- Backward stochastic difference equations and nearly time-consistent nonlinear expectations
- Sparse grid quadrature in high dimensions with applications in finance and insurance
- A sparse-grid method for multi-dimensional backward stochastic differential equations
- Product Integration Over Infinite Intervals I. Rules Based on the Zeros of Hermite Polynomials
- Title not available (Why is that?)
Cited In (5)
- A sparse grid wavelet Galerkin method for 3-D static piezoelectric equations
- Convergence of the deep BSDE method for FBSDEs with non-Lipschitz coefficients
- A sparse-grid method for multi-dimensional backward stochastic differential equations
- Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes
- Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
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