Efficient numerical Fourier methods for coupled forward-backward SDEs

Keyphrases

• Numerical Methods 100%
• Conditional Expectation 100%
• Fourier Method 100%
• Backward SDEs 100%
• Stochastic Differential Equations 50%
• Discretization Method 50%
• Financial Problems 50%
• Integrand 50%
• Richardson Extrapolation 50%
• Conditional Characteristic Function 50%
• COS Method 50%
• Second-order Convergence 50%
• Forward Stochastic Differential Equations 50%

Mathematics

• Stochastic Differential Equation 100%
• Discretization 100%
• Conditional Expectation 100%
• Mathematical Method 100%
• Conditionals 50%
• Integrand 50%
• Time Step 50%
• Richardson Extrapolation 50%
• Convergence Order 50%
• Characteristic Function 50%

Engineering

• Stochastic Differential 100%
• Numerical Methods 100%
• Conditional Expectation 100%
• Fourier Method 100%
• Discretization 100%
• Characteristic Function 50%
• Integrand 50%