3 papers
math.NA2021
Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations
Long Teng
In this work we propose a new algorithm for solving high-dimensional backward stochastic differential equations (BSDEs). Based on the general theta-discretization for the time-inte…
math.NA2020
High-order combined Multi-step Scheme for solving forward Backward Stochastic Differential Equations
Long Teng, Weidong Zhao
In this work, in order to obtain higher-order schemes for solving forward backward stochastic differential equations, we adopt the high-order multi-step method in [W. Zhao, Y. Fu a…
math.NA2018
A Review of Tree-based Approaches to solve Forward-Backward Stochastic Differential Equations
Long Teng
In this work, we study solving (decoupled) forward-backward stochastic differential equations (FBSDEs) numerically using the regression trees. Based on the general theta-discretiza…