Stochastic grid bundling method for backward stochastic differential equations

Ki Wai Chau, Cornelis W. Oosterlee. Stochastic grid bundling method for backward stochastic differential equations. Int. J. Comput. Math., 96(11):2272-2301, 2019. [doi]

Authors

Ki Wai Chau

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Cornelis W. Oosterlee

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