Quasi-Regression Monte-Carlo Method for Semi-Linear PDEs and BSDEs
In this work we design a novel and efficient quasi-regression Monte Carlo algorithm in order to approximate the solution of discrete time backward stochastic differential equations (BSDEs), and we analyze the convergence of the proposed method. With the challenge of tackling problems in high dimensi...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-08-01
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| Series: | Proceedings |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2504-3900/21/1/44 |