3 citations · 4 across the 7 of their papers we have counts for
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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…
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…