Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions

DOI10.1090/mcom/3013zbMath1344.60067MaRDI QIDQ2792367

Emmanuel Gobet, Plamen Turkedjiev

Publication date: 9 March 2016

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/mcom/3013

zbMATH Keywords

backward stochastic differential equations; empirical regressions; non-asymptotic error estimates; dynamic programming scheme

Mathematics Subject Classification ID

62J05: Linear regression; mixed models

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

49L20: Dynamic programming in optimal control and differential games

93E24: Least squares and related methods for stochastic control systems

90C39: Dynamic programming

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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