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math.PR2014★ 2 cited
Multilevel approximation of backward stochastic differential equations
Dirk Becherer, Plamen Turkedjiev
We develop a multilevel approach to compute approximate solutions to backward differential equations (BSDEs). The fully implementable algorithm of our multilevel scheme constructs…
math.PR2013
Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
Plamen Turkedjiev
Two discretizations of a class of locally Lipschitz Markovian backward stochastic differential equations (BSDEs) are studied. The first is the classical Euler scheme which approxim…