JSIAM Letters
Online ISSN : 1883-0617
Print ISSN : 1883-0609
ISSN-L : 1883-0617
A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids
Akihiro Kaneko
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2022 Volume 14 Pages 104-107

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Abstract

We propose a numerical method for computing the solutions of high-dimensional Markovian backward stochastic difference equations (BS$\Delta$Es), in which we apply a sparse grid quadrature/interpolation formula. This allows us to calculate the approximated solution accurately and efficiently, which we justify through a rigorous error analysis. Finally, we use a simple numerical experiment to demonstrate the performance of our method.

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© 2022, The Japan Society for Industrial and Applied Mathematics
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