Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
type: Item
instance of: scholarly article
title: Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
zbMATH Open document ID: 1499.60249
author: Qiang Han
author: Shaolin Ji
published in: Journal of Computational and Applied Mathematics
publication date: 2022-10-06T00:00:00Z
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 65C20
zbMATH DE Number: 7596823
zbMATH Keywords: backward stochastic differential equation
zbMATH Keywords: multilevel Monte Carlo
zbMATH Keywords: novel multi-step scheme
zbMATH Keywords: high order discretization
zbMATH Keywords: computational complexity
MaRDI profile type: Publication
full work available at URL: j.cam.2022.114543
OpenAlex ID: W4285606636
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DOI: 10.1016/J.CAM.2022.114543
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description: scientific article; zbMATH DE number 7596823