Empirical Regression Method for Backward Doubly Stochastic Differential Equations

DOI10.1137/15M1022094zbMath1345.60067OpenAlexW4296763158MaRDI QIDQ5741183

Achref Bachouch, Emmanuel Gobet, Anis Matoussi

Publication date: 22 July 2016

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/15m1022094

zbMATH Keywords

stochastic partial differential equationsbackward doubly stochastic differential equationsempirical regression schemediscrete dynamic programming equations

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming (90C39) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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