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

DOI10.14495/JSIAML.14.104MaRDI QIDQ5047144zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

backward stochastic difference equationssparse gridsGauss-Hermite quadraturepiecewise linear interpolation

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)

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Cites work

• scientific article; zbMATH DE number 3409941 (Why is no real title available?)
• A sparse-grid method for multi-dimensional backward stochastic differential equations
• Backward stochastic difference equations and nearly time-consistent nonlinear expectations
• High dimensional integration of smooth functions over cubes
• High dimensional polynomial interpolation on sparse grids
• Product Integration Over Infinite Intervals I. Rules Based on the Zeros of Hermite Polynomials
• Sparse grid quadrature in high dimensions with applications in finance and insurance

Cited in

(6)

• 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 gradient method for high-dimensional BSDEs
• Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes
• A sparse-grid method for multi-dimensional backward stochastic differential equations
• Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations

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