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

DOI10.3150/bj/1161614951zbMath1136.60351OpenAlexW1981151146MaRDI QIDQ882887

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

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