Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression (Q5963510)
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scientific article; zbMATH DE number 6543279
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| English | Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression |
scientific article; zbMATH DE number 6543279 |
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Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression (English)
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22 February 2016
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backward stochastic differential equations
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numerical scheme
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dynamic programming equation
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empirical regressions
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Malliavin calculus
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non-asymptotic error estimates
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