A Monte Carlo method for backward stochastic differential equations with Hermite martingales

DOI10.1515/mcma-2019-2028MaRDI QIDQ2417976

Kossi Gnameho, Antoon Pelsser

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

zbMATH Keywords

Hermite polynomials; martingale; regression; ODE; BSDE

Mathematics Subject Classification ID

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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