A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations (Q2166927): Difference between revisions

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Latest revision as of 22:44, 29 July 2024

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A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations
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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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