A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations (Q2166927)
From MaRDI portal
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 |
Statements
A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations (English)
0 references
25 August 2022
0 references
forward backward stochastic differential equations
0 references
Fourier cos-cos transform
0 references
characteristic functions
0 references
least-squares regressions
0 references
Monte Carlo
0 references
