173 citations · 1.2k across the 31 of their papers we have counts for
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math.NA2013★ 1 cited
Numerical method for hyperbolic conservation laws via forward backward SDEs
Yuanyuan Siu, Weidong Zhao, Tao Zhou
It is well known that for solutions of semi-linear parabolic PDEs, there are equivalent probabilistic interpretations, which yields the so called nonlinear Feymman-Kac formula. By…
math.NA2013★ 5 cited
A New Kind of High-Order Multi-step Schemes for Forward Backward Stochastic Differential Equations
Weidong Zhao, Yu Fu, Tao Zhou
In this work, we concern with the high order numerical methods for coupled forward-backward stochastic differential equations (FBSDEs). Based on the FBSDEs theory, we derive two re…
math.NA2013★ 6 cited
On sparse interpolation and the design of deterministic interpolation points
Zhiqiang Xu, Tao Zhou
In this paper, we build up a framework for sparse interpolation. We first investigate the theoretical limit of the number of unisolvent points for sparse interpolation under a gene…