A fourier interpolation method for numerical solution of fbsdes: global convergence, stability, and higher order discretizations

HIGHLIGHTS

• who: Firstname Lastname and collaborators from the Department of Mathematics and Statistics, Concordia University, Boulevard de Maisonneuve Ouest, Montru00e9al, QC H G , Canada have published the paper: A Fourier Interpolation Method for Numerical Solution of FBSDEs: Global Convergence, Stability, and Higher Order Discretizations, in the Journal: (JOURNAL)
• what: To suppressing extrapolation error leading to globally convergent numerical solution for the FBSDE the authors provide explicit convergence rates. The authors seek a numerical solution to the FBSDE uf8f1 uf8f4 uf8f2dXt=a(t, Xt )dt + u03c3 (t, Xt )dWt -dYt=f (t, Xt, Yt, Zt )dt - Zt . . .
  

   

  

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