98 citations
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math.NA2018★ 2 cited
A Multi-step Scheme based on Cubic Spline for solving Backward Stochastic Differential Equations
Long Teng, Aleksandr Lapitckii, Michael Günther
In this work we study a multi-step scheme on time-space grids proposed by W. Zhao et al. [28] for solving backward stochastic differential equations, where Lagrange interpolating p…
math.NA2017★ 2 cited
An upwind method for genuine weakly hyperbolic systems
Naveen Kumar Garg, Michael Junk, S. V. Raghurama Rao +1
In this article, we attempted to develop an upwind scheme based on Flux Difference Splitting using Jordan canonical forms to simulate genuine weakly hyperbolic systems. Theory of J…