A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations (Q2166927): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations |
scientific article |
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A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations (English)
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25 August 2022
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forward backward stochastic differential equations
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Fourier cos-cos transform
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characteristic functions
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least-squares regressions
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Monte Carlo
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