10 citations · 22 across the 6 of their papers we have counts for
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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.NA2018★ 5 cited
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…