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math.PR2017★ 3 cited
Cubature methods to solve BSDEs: Error expansion and complexity control
Jean-François Chassagneux, Camilo A. Garcia Trillos
We obtain an explicit error expansion for the solution of Backward Stochastic Differential Equations (BSDEs) using the cubature on Wiener spaces method. The result is proved under…
math.PR2012★ 2 cited
A decreasing step method for strongly oscillating stochastic models
Camilo Andrés García Trillos
We propose an algorithm for approximating the solution of a strongly oscillating SDE, that is, a system in which some ergodic state variables evolve quickly with respect to the oth…