Stability of Regression-Based Monte Carlo Methods for Solving Nonlinear PDEs

DOI10.1002/cpa.21590zbMath1337.65009OpenAlexW1521699091MaRDI QIDQ2802033

Samu Alanko

Publication date: 22 April 2016

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cpa.21590

zbMATH Keywords

numerical examplevariance reductionbackward stochastic differential equationregression-based Monte Carlo method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Least-Squares Monte Carlo for Backward SDEs
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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