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Tao Kong

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High Order Numerical Schemes for Second-Order FBSDEs with Applications to Stochastic Optimal Control

Journal Article

High Order Numerical Schemes for Second-Order FBSDEs with Applications to Stochastic Optimal Control

Communications in Computational Physics, Vol. 21 (2017), Iss. 3 : pp. 808–834

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Probabilistic High Order Numerical Schemes for Fully Nonlinear Parabolic PDEs

Journal Article

Probabilistic High Order Numerical Schemes for Fully Nonlinear Parabolic PDEs

Communications in Computational Physics, Vol. 18 (2015), Iss. 5 : pp. 1482–1503

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