Stability of regression-based Monte Carlo methods for solving nonlinear PDEs
DOI10.1002/CPA.21590zbMATH Open1337.65009OpenAlexW1521699091MaRDI QIDQ2802033FDOQ2802033
Authors: Samu Alanko 
Publication date: 22 April 2016
Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cpa.21590
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variance reductionbackward stochastic differential equationnumerical exampleregression-based Monte Carlo method
Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- Forward-backward stochastic differential equations and their applications
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Least-squares Monte Carlo for backward SDEs
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- Path regularity and explicit convergence rate for BSDE with truncated quadratic growth
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Reducing variance in the numerical solution of BSDEs
Cited In (4)
- An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method
- Mean square rate of convergence for random walk approximation of forward-backward SDEs
- Random walk approximation of BSDEs with Hölder continuous terminal condition
- A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations
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