Numerical Method for Multi-Dimensional Coupled Forward-Backward Stochastic Differential Equations Based on Fractional Fourier Fast Transform

Forward-backward stochastic differential equations (FBSDEs) have received more and more attention in the past two decades. FBSDEs can be applied to many fields, such as economics and finance, engineering control, population dynamics analysis, and so on. In most cases, FBSDEs are nonlinear and high-d...

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Principais autores:	Xiaoxiao Zeng, Kexin Fu, Xiaofei Li, Junjie Du, Weiran Fan
פורמט:	Artigo
שפה:	Inglês
יצא לאור:	MDPI AG 2023-05-01
סדרה:	Fractal and Fractional
נושאים:	coupled backward stochastic differential equations fractional Fourier fast transform Feynman-Kac theorem numerical experiments
גישה מקוונת:	https://www.mdpi.com/2504-3110/7/6/441
תגים:	הוספת תג אין תגיות, היה/י הראשונ/ה לתייג את הרשומה!