A gradient method for high-dimensional BSDEs

DOI10.1515/MCMA-2024-2002zbMATH Open1545.65008MaRDI QIDQ6554575FDOQ6554575

Authors: Kossi Gnameho, Mitja Stadje, Antoon Pelsser 

Publication date: 12 June 2024

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

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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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