A gradient method for high-dimensional BSDEs

DOI10.1515/MCMA-2024-2002MaRDI QIDQ6554575zbMATH OpenFDO

Authors Kossi Gnameho, Mitja Stadje, Antoon Pelsser

Publication date 12 June 2024

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

Monte CarloregressionHermite polynomialsBSDE

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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