Numerical approximation of BSDEs using local polynomial drivers and branching processes
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Publication:1691497
DOI10.1515/mcma-2017-0116zbMath1386.65012arXiv1612.06790OpenAlexW2963242003MaRDI QIDQ1691497
Bruno Bouchard, Yiyi Zou, Xavier Warin, Xiaolu Tan
Publication date: 16 January 2018
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.06790
Monte Carlo methods (65C05) Applications of branching processes (60J85) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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Uses Software
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