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Numerical approximation of BSDEs using local polynomial drivers and branching processes.

Bruno BouchardXiaolu TanXavier WarinYiyi Zou
Published in: Monte Carlo Methods Appl. (2017)
Keyphrases
  • stochastic differential equations
  • randomized approximation
  • closed form
  • maximum a posteriori estimation
  • lagrange interpolation
  • branch and bound