A convolution method for numerical solution of backward stochastic differential equations (Q518855)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A convolution method for numerical solution of backward stochastic differential equations |
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A convolution method for numerical solution of backward stochastic differential equations (English)
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30 March 2017
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backward stochastic differential equations
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numerical approximation
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convolution method
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fast Fourier transform
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parabolic PDE
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option valuation
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