3 citations · 4 across the 7 of their papers we have counts for
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math.NA2018
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…
math.NA2018
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…
math.NA2018★ 3 cited
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…