A regression-based Monte Carlo method to solve backward stochastic differential equations

Annals of Applied Probability

Volumn 15, Issue 3, 2005, Pages 2172-2202

  Gobet, Emmanuel ^a   Lemor, Jean Philippe ^a,b   Warin, Xavier ^a,b  

^a CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

^b EDF R AND D   (France)

Author keywords

Backward stochastic differential equations; Monte Carlo methods; Regression on function bases

Indexed keywords

EID: 29144464083     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051605000000412     Document Type: Article

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