collaborators

1 paper

q-fin.CP2014

A Fourier interpolation method for numerical solution of FBSDEs: Global convergence, stability, and higher order discretizations

Polynice Oyono Ngou, Cody Hyndman

The convolution method for the numerical solution of forward-backward stochastic differential equations (FBSDEs), introduced in [21], uses a uniform space grid. In this paper we ut…