Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
Hutzenthaler M, Jentzen A, Kruse T, Nguyen TA
Research article (journal) | Peer reviewedDetails about the publication
Journal: Journal of Numerical Mathematics
Volume: 31
Issue: 2
Page range: 1-28
Status: Published
Release year: 2023
Language in which the publication is written: English
Link to the full text: https://www.degruyter.com/document/doi/10.1515/jnma-2021-0111/html
Keywords: backward stochastic differential equation; curse of dimensionality; multilevel Picard method
Authors from the University of Münster
| Jentzen, Arnulf | Institute for Analysis and Numerics |