Iterative Improvement of Lower and Upper Bounds for Backward SDEs (Q5738163)
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scientific article; zbMATH DE number 6724605
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Iterative Improvement of Lower and Upper Bounds for Backward SDEs |
scientific article; zbMATH DE number 6724605 |
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Iterative Improvement of Lower and Upper Bounds for Backward SDEs (English)
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31 May 2017
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backward stochastic differential equations
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dynamic programming
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iterated improvement
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Monte Carlo
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financial application
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