Backward stochastic differential equations (BSDEs) have emerged as a pivotal mathematical tool in the analysis of complex systems across finance, physics and engineering. Their formulation, generally ...

Abstract: Novel numerical estimators are proposed for the forward-backward stochastic differential equations (FBSDE) appearing in the Feynman-Kac representation of the value function. In contrast to ...

This is a preview. Log in through your library . Abstract Mathematical mean-field approaches play an important role in different fields of Physics and Chemistry, but have found in recent works also ...

Abstract: One well-adopted power grid simulation methodology is to factorize matrix once and perform only backward/forward substitution with a deliberately chosen step size along the simulation. Since ...

This is a preview. Log in through your library . Abstract Some iterative methods are developed for the solution of a forward-backward heat equation. Lower bounds for the rates of convergence of the ...