Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions (Q2792367)
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scientific article; zbMATH DE number 6552624
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions |
scientific article; zbMATH DE number 6552624 |
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Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions (English)
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9 March 2016
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backward stochastic differential equations
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dynamic programming scheme
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empirical regressions
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non-asymptotic error estimates
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