Solving BSDE with Adaptive Control Variate

DOI10.1137/090755060zbMath1208.60055OpenAlexW2051031503MaRDI QIDQ3078556

Emmanuel Gobet, Céline Labart

Publication date: 28 February 2011

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090755060

zbMATH Keywords

backward stochastic differential equationssemilinear parabolic PDEadaptive control variate

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Error analysis and interval analysis (65G99)

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