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5. Adaptive Importance Sampling in Least-squares Monte-Carlo Algorithms for Backward Stochastic Differe

Adaptive Importance Sampling in Least-squares Monte-Carlo Algorithms for Backward Stochastic Differe

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：fangming286

【摘 要】

：

　　We design an importance sampling scheme for backward stochastic differential equations(BSDEs)that minimizes the conditional variance occurring in least-squa

【作 者】

：

Turkedjiev Plamen 

【机 构】

：

Ecole Polytechnique

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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论文部分内容阅读

　　We design an importance sampling scheme for backward stochastic differential equations(BSDEs)that minimizes the conditional variance occurring in least-squares Monte-Carlo(LSMC)algorithms.

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