A Monte Carlo method for backward stochastic differential equations with Hermite martingales (Q2417976)

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A Monte Carlo method for backward stochastic differential equations with Hermite martingales
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    title
    A Monte Carlo method for backward stochastic differential equations with Hermite martingales (English)
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    author
    Antoon Pelsser
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    Kossi Gnameho
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    publication date
    31 May 2019
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    Mathematics Subject Classification ID
    65C05
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    65C40
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    60H10
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    zbMATH DE Number
    7061108
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    zbMATH Keywords
    regression
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    BSDE
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    ODE
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    Hermite polynomials
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    martingale
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