A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo
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Publication:2684920
DOI10.1007/s11009-022-09943-4zbMath1505.65002OpenAlexW4214703977MaRDI QIDQ2684920
Publication date: 17 February 2023
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-022-09943-4
stabilityerror estimatebackward stochastic differential equationmulti-step predictor-corrector scheme
Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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