Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations

DOI10.1515/jnma-2021-0111zbMath1515.65025arXiv2108.10602WikidataQ114052933 ScholiaQ114052933MaRDI QIDQ6375908

Thomas Kruse, Arnulf Jentzen, Tuan Anh Nguyen, Martin Hutzenthaler

Publication date: 24 August 2021

Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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