Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations (Q516010)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations |
scientific article |
Statements
Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations (English)
0 references
20 March 2017
0 references
backward stochastic differential equations
0 references
empirical regressions
0 references
importance sampling
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
