2016-04-01
Efficient numerical Fourier methods for coupled forward-backward SDE's
Publication
Publication
Journal of Computational and Applied Mathematics , Volume 296 p. 593- 612
Additional Metadata | |
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Elsevier | |
doi.org/10.1016/j.cam.2015.10.019 | |
Journal of Computational and Applied Mathematics | |
Organisation | Scientific Computing |
Huijskens, T. P., Ruijter, M., & Oosterlee, K. (2016). Efficient numerical Fourier methods for coupled forward-backward SDE's. Journal of Computational and Applied Mathematics, 296, 593–612. doi:10.1016/j.cam.2015.10.019 |