Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression

DOI10.3150/14-BEJ667zbMath1339.60094arXiv1601.01186MaRDI QIDQ5963510

Plamen Turkedjiev, Emmanuel Gobet

Publication date: 22 February 2016

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.01186

zbMATH Keywords

Malliavin calculusbackward stochastic differential equationsnumerical schemedynamic programming equationempirical regressionsnon-asymptotic error estimates

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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