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Iterative Improvement of Lower and Upper Bounds for Backward SDEs - MaRDI portal

Iterative Improvement of Lower and Upper Bounds for Backward SDEs (Q5738163)

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scientific article; zbMATH DE number 6724605
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English
Iterative Improvement of Lower and Upper Bounds for Backward SDEs
scientific article; zbMATH DE number 6724605

    Statements

    title
    Iterative Improvement of Lower and Upper Bounds for Backward SDEs (English)
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    author
    Christian Bender
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    Christian Gärtner
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    Nikolaus Schweizer
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    publication date
    31 May 2017
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    zbMATH Keywords
    backward stochastic differential equations
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    dynamic programming
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    iterated improvement
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    Monte Carlo
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    financial application
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    Identifiers

    DOI
    10.1137/16M1081348
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    Mathematics Subject Classification ID
    65C30
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    60H15
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    60H35
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    35R60
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    65C05
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    49L20
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    91G60
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    zbMATH DE Number
    6724605
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