Schwarz method for financial engineering

DOI10.4208/JCM.2003-M2018-0115zbMATH Open1499.91172OpenAlexW3164985266MaRDI QIDQ5079519FDOQ5079519

Authors: Guangbao Guo, Weidong Zhao 

Publication date: 27 May 2022

Published in: Journal of Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/jcm.2003-m2018-0115

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zbMATH Keywords

domain decompositionviscosity solutionstochastic volatility modelsSchwarz method2BSDE

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Financial markets (91G15) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Forward-backward stochastic differential equations and their applications
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• Title not available (Why is that?)
• Wellposedness of second order backward SDEs
• Error expansion for the discretization of backward stochastic differential equations
• Backward stochastic differential equations driven by \(G\)-Brownian motion
• Optimized Schwarz methods for circular domain decompositions with overlap
• Optimized Schwarz methods with nonoverlapping circular domain decomposition
• Schwarz method for penalized quasi-likelihood in generalized additive models
• Optimized Schwarz method with complete radiation transmission conditions for the Helmholtz equation in waveguides
• Schwarz methods for quasi stationary distributions of Markov chains
• A massively parallel nonoverlapping additive Schwarz method for discontinuous Galerkin discretization of elliptic problems
• Parallel statistical computing for statistical inference
• Convergence analysis for a second order Schwarz method for nonoverlapping subdomains
• Asynchronous optimized Schwarz methods with and without overlap
• Analysis of the parallel Schwarz method for growing chains of fixed-sized subdomains. I
• A coarse–fine‐mesh stabilization for an alternating Schwarz domain decomposition method

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