A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations (Q5398542)
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scientific article; zbMATH DE number 6262539
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations |
scientific article; zbMATH DE number 6262539 |
Statements
A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations (English)
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28 February 2014
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backward stochastic differential equations
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multi-step scheme
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Gauss-Hermite quadrature rule
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sparse grids
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