Schwarz method for financial engineering

DOI10.4208/JCM.2003-M2018-0115MaRDI QIDQ5079519zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• A coarse-fine-mesh stabilization for an alternating Schwarz domain decomposition method.
• A massively parallel nonoverlapping additive Schwarz method for discontinuous Galerkin discretization of elliptic problems
• Analysis of the parallel Schwarz method for growing chains of fixed-sized subdomains. I
• Asynchronous optimized Schwarz methods with and without overlap
• Backward stochastic differential equations driven by \(G\)-Brownian motion
• Convergence analysis for a second order Schwarz method for nonoverlapping subdomains
• Error expansion for the discretization of backward stochastic differential equations
• Forward-backward stochastic differential equations and their applications
• Optimized Schwarz method with complete radiation transmission conditions for the Helmholtz equation in waveguides
• Optimized Schwarz methods for circular domain decompositions with overlap
• Optimized Schwarz methods with nonoverlapping circular domain decomposition
• Parallel statistical computing for statistical inference
• Schwarz method for penalized quasi-likelihood in generalized additive models
• Schwarz methods for quasi stationary distributions of Markov chains
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• Wellposedness of second order backward SDEs

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