SIAM Journal on Numerical Analysis, Vol. 34, No. 1 (Feb., 1997), pp. 22-47 (26 pages) We suggest a general method for the construction of highly continuous interpolants for one-step methods applied to ...
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 ...