A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance-Reference-Cited by-同舟云学术

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A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance

Published:2022-02-14 Issue:1 Volume:13 Page:147-178
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Li Yunzhang^ORCID

Funder

China Postdoctoral Science Foundation

National Postdoctoral Program for Innovative Talents

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Link

https://epubs.siam.org/doi/pdf/10.1137/20M1383252

Reference24 articles.

1. Carleman Estimates and Controllability of Linear Stochastic Heat Equations

2. A High-Order Accurate Discontinuous Finite Element Method for the Numerical Solution of the Compressible Navier–Stokes Equations

3. Superconvergence of the Local Discontinuous Galerkin Method for Elliptic Problems on Cartesian Grids

4. TVB Runge-Kutta local projection discontinuous Galerkin finite element method for conservation laws III: One-dimensional systems

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A generalized finite element θ-scheme for backward stochastic partial differential equations and its error estimates;ESAIM: Mathematical Modelling and Numerical Analysis;2024-01

2. Numerical methods for backward stochastic differential equations: A survey;Probability Surveys;2023-01-01

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