A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations

DOI10.1137/16M1066865MaRDI QIDQ4600830zbMATH OpenOpenAlexFDO

Authors Emmanuel Gobet, Gang Liu, J. P. Zubelli

Publication date 17 January 2018

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/16m1066865

zbMATH Keywords

discrete dynamic programming equationsempirical regression schemeresampling methodssmall-size sample

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonparametric regression and quantile regression (62G08) Monte Carlo methods (65C05)

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Cited in

(2)

• Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
• Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering

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