Iterative Improvement of Lower and Upper Bounds for Backward SDEs.

Christian Bender Christian Gärtner Nikolaus Schweizer

Published in: SIAM J. Sci. Comput. (2017)

Keyphrases

lower and upper bounds
lower bound
upper bound
lower bounding
upper and lower bounds
forward backward
valid inequalities
significant improvement
bi directional
lagrangian relaxation
forward and backward
data mining
data structure
scheduling problem
image restoration