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

DOI10.1214/105051605000000412zbMath1083.60047arXivmath/0508491OpenAlexW2043281212MaRDI QIDQ2572405

Jean-Philippe Lemor, Emmanuel Gobet, Xavier Warin

Publication date: 8 November 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0508491

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

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