Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo.

Qiang Han Shaolin Ji

Published in: J. Comput. Appl. Math. (2023)

Keyphrases

monte carlo
multi step
monte carlo methods
monte carlo simulation
particle filter
markov chain
k nearest neighbor
knn
monte carlo tree search
temporal difference
markovian decision
semi supervised
markov random field
optimal strategy
game tree
matrix inversion