A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo (Q2684920): Difference between revisions
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Revision as of 08:04, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo |
scientific article |
Statements
A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo (English)
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17 February 2023
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backward stochastic differential equation
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multi-step predictor-corrector scheme
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stability
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error estimate
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