A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations

DOI10.1137/16M1066865zbMath1392.65011OpenAlexW2736143897MaRDI QIDQ4600830

Gang Liu, Emmanuel Gobet, Jorge P. Zubelli

Publication date: 17 January 2018

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

Full work available at URL: https://doi.org/10.1137/16m1066865

zbMATH Keywords

resampling methodsempirical regression schemediscrete dynamic programming equationssmall-size sample

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (2)

Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering ⋮ Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations

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