Efficient spectral sparse grid approximations for solving multi-dimensional forward backward SDEs
Work
Year: 2017
Type: article
Abstract: This is the second part of a series papers on multi-step schemes for solving coupled forward backward stochastic differential equations (FBSDEs). We extend the basic idea in our former paper [W. Zhao,... more
Authors Yu Fu, Weidong Zhao, Tao Tang
Cites: 41
Cited by: 32
Related to: 10
FWCI: 5.229
Citation percentile (by year/subfield): 95.66
Subfield: Finance
Domain: Social Sciences
Open Access status: gold