Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations

DOI10.1016/J.AMC.2022.127119zbMath1510.65274arXiv2107.06673WikidataQ115361056 ScholiaQ115361056MaRDI QIDQ6372788

Long Teng

Publication date: 14 July 2021

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

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