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Cubature methods to solve BSDEs: Error expansion and complexity control - MaRDI portal

Cubature methods to solve BSDEs: Error expansion and complexity control

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Publication:6282775

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DOI10.1090/MCOM/3522arXiv1702.00999MaRDI QIDQ6282775

Camilo Andrés García Trillos, Jean-François Chassagneux

Publication date: 3 February 2017

Mathematics Subject Classification ID

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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