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Numerical Method for Multi-Dimensional Coupled Forward-Backward Stochastic Differential Equations Based on Fractional Fourier Fast Transform
Forward-backward stochastic differential equations (FBSDEs) have received more and more attention in the past two decades. FBSDEs can be applied to many fields, such as economics and finance, engineering control, population dynamics analysis, and so on. In most cases, FBSDEs are nonlinear and high-dimensional and cannot be obtained as analytic …