Solving BSDE with Adaptive Control Variate
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Numerical Analysis,Applied Mathematics,Computational Mathematics
Link
http://epubs.siam.org/doi/pdf/10.1137/090755060
Reference15 articles.
1. Bounds for the fundamental solution of a parabolic equation
2. Error analysis of the optimal quantization algorithm for obstacle problems
3. A forward scheme for backward SDEs
4. Time discretization and Markovian iteration for coupled FBSDEs
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