A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance
DOI10.1137/20M1383252zbMath1484.65016OpenAlexW4213162232MaRDI QIDQ5065083
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Publication date: 18 March 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/20m1383252
error estimatesstability analysisbackward stochastic partial differential equationslocal discontinuous Galerkin methodhedging contingent claimsstochastic Black-Scholes formula
Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites Work
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