A PRIMAL–DUAL ALGORITHM FOR BSDES
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Publication:5283406
DOI10.1111/mafi.12100zbMath1423.91008arXiv1310.3694OpenAlexW2950427768MaRDI QIDQ5283406
Christian Bender, Jia Zhuo, Nikolaus Schweizer
Publication date: 21 July 2017
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1310.3694
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)
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