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Numerical Approximation of FBSDEs
2017This chapter gives an overview of some numerical schemes that can be applied to forward-backward stochastic differential equations (FBSDEs). First, a backward version of the Euler-Maruyama discretisation, that is applicable to decoupled FBSDE, is presented.
Jean-François Chassagneux +2 more
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Numerical Aplications of Operator Pade Approximants
1983We repeat the definition of operator Pade approximant for a nonlinear operator F:Rp → Rq; it is a generalization of the univariate Pade approximant, completely following the ideas of the univariate theory. These operator Pade approximants prove to be efficient tools for the convergence acceleration of multidimensional tables (q=1), for the solution of ...
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