On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
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Publication:981018
DOI10.1016/j.spa.2010.03.015zbMath1193.65005OpenAlexW2022684404MaRDI QIDQ981018
Nizar Touzi, Dan Crisan, Konstantinos Manolarakis
Publication date: 8 July 2010
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2010.03.015
Nonparametric regression and quantile regression (62G08) Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)
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