Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

Stochastic Processes and their Applications

Volumn 111, Issue 2, 2004, Pages 175-206

  Bouchard, Bruno ^a   Touzi, Nizar ^b  

^a SORBONNE UNIVERSITÉ   (France)

^b Centre National de la Recherche Scientifique   (France)

Author keywords

Malliavin calculus; Monte Carlo methods for (reflected) forward backward SDEs; Regression estimation

Indexed keywords

EID: 2342427092     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2004.01.001     Document Type: Article

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