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

Bernoulli

Volumn 12, Issue 5, 2006, Pages 889-916

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

^a Laboratoire de Modélisation et Calcul ^*

^b INP Grenoble ENSIMAG   (France)

^c EDF R AND D   (France)

Author keywords

Backward stochastic differential equations; Empirical regressions

Indexed keywords

EID: 34248521006     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/bj/1161614951     Document Type: Article

References (21)

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