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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Latest revision as of 12:37, 31 July 2024

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A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo
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    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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