A gradient method for high-dimensional BSDEs.
Kossi GnamehoMitja StadjeAntoon PelsserPublished in: Monte Carlo Methods Appl. (2024)
Keyphrases
- gradient method
- high dimensional
- stochastic differential equations
- convergence rate
- optimization methods
- low dimensional
- step size
- negative matrix factorization
- dimensionality reduction
- high dimensional data
- data points
- maximum a posteriori estimation
- fractional brownian motion
- nearest neighbor
- image processing
- long range
- feature space
- brownian motion
- optimal solution