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math.NA2019
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…
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…