A Monte Carlo method for backward stochastic differential equations with Hermite martingales

DOI10.1515/mcma-2019-2028OpenAlexW2914135689MaRDI QIDQ2417976

Kossi Gnameho, Antoon Pelsser

Publication date: 31 May 2019

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2019-2028

zbMATH Keywords

Hermite polynomialsmartingaleregressionODEBSDE

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (2)

A Monte Carlo method for backward stochastic differential equations with Hermite martingales ⋮ Numerical methods for backward stochastic differential equations: a survey

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