A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids

DOI10.14495/jsiaml.14.104OpenAlexW4290963705MaRDI QIDQ5047144

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

zbMATH Keywords

sparse gridspiecewise linear interpolationGauss-Hermite quadraturebackward stochastic difference equations

Mathematics Subject Classification ID

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

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• High dimensional integration of smooth functions over cubes
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• A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations