Hutzenthaler, Martin; Nguyen, Tuan Anh Multilevel Picard approximations of high-dimensional semilinear partial differential equations with locally monotone coefficient functions. (English) Zbl 1514.65144 Appl. Numer. Math. 181, 151-175 (2022). Reviewer: Piotr Biler (Wrocław) MSC: 65M75 35K58 65C05 65M15 47J26 PDFBibTeX XMLCite \textit{M. Hutzenthaler} and \textit{T. A. Nguyen}, Appl. Numer. Math. 181, 151--175 (2022; Zbl 1514.65144) Full Text: DOI arXiv
Ruijter, M. J.; Oosterlee, C. W. Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance. (English) Zbl 1386.91166 Appl. Numer. Math. 103, 1-26 (2016). MSC: 91G60 60H35 60H10 65T40 91G20 PDFBibTeX XMLCite \textit{M. J. Ruijter} and \textit{C. W. Oosterlee}, Appl. Numer. Math. 103, 1--26 (2016; Zbl 1386.91166) Full Text: DOI Link
Forsyth, Peter A. A Hamilton-Jacobi-Bellman approach to optimal trade execution. (English) Zbl 1231.91492 Appl. Numer. Math. 61, No. 2, 241-265 (2011). MSC: 91G80 49L20 49K45 PDFBibTeX XMLCite \textit{P. A. Forsyth}, Appl. Numer. Math. 61, No. 2, 241--265 (2011; Zbl 1231.91492) Full Text: DOI