Regression Monte-Carlo with Adaptive Approximation Selection Applied to BSDE-FBSDE

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：xzjwl

【摘要】

：

　　We design regression schemes for decoupled FBSDE,using a selection point of view,taking the best estimator among a family,accounting automatically for the r

【作者】

：

Gobet Emmanuel

【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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　　We design regression schemes for decoupled FBSDE,using a selection point of view,taking the best estimator among a family,accounting automatically for the regularity of the unknown solution.

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Regression Monte-Carlo with Adaptive Approximation Selection Applied to BSDE-FBSDE

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