Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression-Reference-Cited by-同舟云学术

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Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression

Published:2016-02-01 Issue:1 Volume:22 Page:
ISSN:1350-7265
Container-title:Bernoulli
language:
Short-container-title:Bernoulli

Author:

Gobet Emmanuel,Turkedjiev Plamen

Publisher

Bernoulli Society for Mathematical Statistics and Probability

Subject

Statistics and Probability

Cited by 28 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Novel multi-step predictor–corrector schemes for backward stochastic differential equations;Communications in Nonlinear Science and Numerical Simulation;2024-12

2. A gradient method for high-dimensional BSDEs;Monte Carlo Methods and Applications;2024-02-14

3. Two-Step Scheme for Backward Stochastic Differential Equations;Journal of Computational Mathematics;2023-06

4. Stability of backward stochastic differential equations: the general Lipschitz case;Electronic Journal of Probability;2023-01-01

5. Numerical methods for backward stochastic differential equations: A survey;Probability Surveys;2023-01-01

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