Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions

DOI10.1090/MCOM/3013zbMath1344.60067OpenAlexW1948872067MaRDI QIDQ2792367

Plamen Turkedjiev, Emmanuel Gobet

Publication date: 9 March 2016

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/mcom/3013

zbMATH Keywords

backward stochastic differential equationsempirical regressionsnon-asymptotic error estimatesdynamic programming scheme

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Least squares and related methods for stochastic control systems (93E24) Dynamic programming (90C39) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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