A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations

DOI10.4208/jcm.1212-m4014zbMath1289.65011OpenAlexW2126447218MaRDI QIDQ5398542

Weidong Zhao, Guannan Zhang, Max D. Gunzburger

Publication date: 28 February 2014

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

Full work available at URL: https://semanticscholar.org/paper/8599a22f46781715118fc06547637722e9d569eb

zbMATH Keywords

sparse gridsbackward stochastic differential equationsmulti-step schemeGauss-Hermite quadrature rule

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Mesh generation, refinement, and adaptive methods for boundary value problems involving PDEs (65N50) Numerical solutions to stochastic differential and integral equations (65C30)

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