A Monte Carlo method for backward stochastic differential equations with Hermite martingales
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Publication:2417976
DOI10.1515/mcma-2019-2028MaRDI QIDQ2417976
Publication date: 31 May 2019
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma-2019-2028
65C05: Monte Carlo methods
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
65C40: Numerical analysis or methods applied to Markov chains
Related Items
Numerical methods for backward stochastic differential equations: a survey, A Monte Carlo method for backward stochastic differential equations with Hermite martingales
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