A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids (Q5047144)
From MaRDI portal
scientific article; zbMATH DE number 7614444
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids |
scientific article; zbMATH DE number 7614444 |
Statements
A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids (English)
0 references
9 November 2022
0 references
backward stochastic difference equations
0 references
sparse grids
0 references
piecewise linear interpolation
0 references
Gauss-Hermite quadrature
0 references
0 references
0 references
