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A SPARSE-GRID METHOD FOR MULTI-DIMENSIONAL BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS |
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| Authors: | Guannan Zhang Max Gunzburger Weidong Zhao |
| Affiliation: | [1]Department of Scientific Computing, Florida State University, Tallahassee, FL 32306,Computer Science and Mathematics Division, Oak Ridge National Lab, Oak Ridge, TN 37831 [2]Department of Scientific Computing, Florida State University, Tallahassee, FL 32306 [3]School of Mathematics, Shandong University, Jinan, Shandong 250100, China |
| Abstract: | |
| Keywords: | Backward stochastic differential equations Multi-step scheme Gauss-Hermite quadrature rule Adaptive hierarchical basis Sparse grids. |
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