A high-order numerical method for BSPDEs with applications to mathematical finance
backward stochastic partial differential equationserror estimatesstability analysislocal discontinuous Galerkin methodhedging contingent claimsstochastic Black-Scholes formula
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods (including Monte Carlo methods) (91G60) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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