3 citations · 4 across the 7 of their papers we have counts for
7 papers
A Numerical Scheme For High-dimensional Backward Stochastic Differential Equation Based On Modified Multi-level Picard Iteration
Chol-Kyu Pak, Mun-Chol Kim, Hun O
In this paper, we propose a new kind of numerical scheme for high-dimensional backward stochastic differential equations based on modified multi-level Picard iteration. The propose…
Stochastic Gronwall's inequality in random time horizon and its application to BSDE
Hun O, Mun-Chol Kim, Chol-Gyu Pak
In this paper, we introduce and prove a stochastic Gronwall's inequality in (unbounded) random time horizon. As an application, we prove a comparison theorem for backward stochasti…
A generalized scheme for BSDEs based on derivative approximation and its error estimates
Chol-Kyu Pak, Mun-Chol Kim, O Hun
In this paper we propose a generalized numerical scheme for backward stochastic differential equations(BSDEs). The scheme is based on approximation of derivatives via Lagrange inte…
Adapted -Scheme and Its Error Estimates for Backward Stochastic Differential Equations
Chol-Kyu Pak, Mun-Chol Kim, Chang-Ho Rim
In this paper we propose a new kind of high order numerical scheme for backward stochastic differential equations(BSDEs). Unlike the traditional -scheme, we reduce truncation er…
An efficient third-order scheme for BSDEs based on nonequidistant difference scheme
Chol-Kyu Pak, Mun-Chol Kim, Chang-Ho Rim
In this paper we propose an efficient third-order numerical scheme for backward stochastic differential equations(BSDEs). We use 3-point Gauss-Hermite quadrature rule for approxima…
A Framework of BSDEs with Stochastic Lipschtz Coefficients through Time Change
Hun O, Mun-chol Kim, Chol-kyu Pak
In this paper, we suggest a useful technique based on time change to be effective for dealing with the backward stochastic differential equations. We show the relation between the…
Backward stochastic differential equations with stopping time as time horizon
Mun-Chol Kim, Chol-Kyu Pak
In this paper, we introduce a new method for study on backward stochastic differential equations with stopping time as time horizon. And using this, we show that some results on ba…