``Regression anytime with brute-force SVD truncation

Christian Bender, Nikolaus Schweizer

Publication date: 4 November 2021

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.08264

zbMATH Keywords

dynamic programming Monte Carlo simulation statistical learning least-squares Monte Carlo quantitative finance regression later

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Monte Carlo methods (65C05) Dynamic programming (90C39) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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