Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations (Q516010): Difference between revisions

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-Plamen Turkedjiev
@@ Property / author: Plamen Turkedjiev / rank @@
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+Plamen Turkedjiev
@@ Property / author: Plamen Turkedjiev / rank @@
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+E24
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+6696064
@@ Property / zbMATH DE Number: 6696064 / rank @@
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+backward stochastic differential equations
@@ Property / zbMATH Keywords: backward stochastic differential equations / rank @@
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@@ Property / zbMATH Keywords @@
+empirical regressions
@@ Property / zbMATH Keywords: empirical regressions / rank @@
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+importance sampling
@@ Property / zbMATH Keywords: importance sampling / rank @@
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@@ Property / cites work @@
+Reducing variance in the numerical solution of BSDEs
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+Weak solutions for SPDE's and backward doubly stochastic differential equations
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+Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
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+Importance Sampling for Backward SDEs
@@ Property / cites work: Importance Sampling for Backward SDEs / rank @@
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@@ Property / cites work @@
+Least-Squares Monte Carlo for Backward SDEs
@@ Property / cites work: Least-Squares Monte Carlo for Backward SDEs / rank @@
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+Preliminary control variates to improve empirical regression methods
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+On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling
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+Simulation of BSDEs by Wiener chaos expansion
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+Introduction to rare event simulation.
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+Linear forward-backward stochastic differential equations
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+Variance Reduction for Simulated Diffusions
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+Rare Event Simulation using Monte Carlo Methods
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+Simulation and the Monte Carlo Method
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+Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
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+Publication:516010