A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids
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Publication:5047144
DOI10.14495/jsiaml.14.104OpenAlexW4290963705MaRDI QIDQ5047144
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
sparse gridspiecewise linear interpolationGauss-Hermite quadraturebackward stochastic difference equations
Numerical analysis or methods applied to Markov chains (65C40) Numerical methods for difference equations (65Q10) Numerical approximation of high-dimensional functions; sparse grids (65D40)
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