A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations
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Publication:2166927
DOI10.1186/s13662-021-03361-5zbMath1494.65005OpenAlexW3164206478WikidataQ115241239 ScholiaQ115241239MaRDI QIDQ2166927
Songbo Hu, Chuan Qin, Yi Wu, Xiaofei Li, Quanxin Zhu
Publication date: 25 August 2022
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-021-03361-5
Monte Carlocharacteristic functionsforward backward stochastic differential equationsleast-squares regressionsFourier cos-cos transform
Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solutions to stochastic differential and integral equations (65C30)
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