Cubature method to solve BSDEs: Error expansion and complexity control
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Publication:4960079
DOI10.1090/mcom/3522OpenAlexW3004659881MaRDI QIDQ4960079
Jean-François Chassagneux, Camilo Andrés García Trillos
Publication date: 8 April 2020
Published in: Mathematics of Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1702.00999
Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical quadrature and cubature formulas (65D32)
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