Recent Submissions

  • Quasi-Regression Monte-Carlo Method for Semi-Linear PDEs and BSDEs 

    Gobet, Emmanuel; López-Salas, José Germán; Vázquez, Carlos (M D P I AG, 2019-08-06)
    [Abstract] 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 ...