Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression (Q5963510)
From MaRDI portal
scientific article; zbMATH DE number 6543279
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression |
scientific article; zbMATH DE number 6543279 |
Statements
Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression (English)
0 references
22 February 2016
0 references
backward stochastic differential equations
0 references
numerical scheme
0 references
dynamic programming equation
0 references
empirical regressions
0 references
Malliavin calculus
0 references
non-asymptotic error estimates
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
