Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations

DOI10.3150/BJ/1161614951MaRDI QIDQ882887zbMATH OpenOpenAlexFDO

Authors Jean-Philippe Lemor, Xavier Warin, Emmanuel Gobet

Publication date 24 May 2007

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3150/bj/1161614951

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Financial applications of other theories (91G80)

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