ListarGI-M2NICA - Congresos, conferencias, etc. por tema "Semi-linear PDEs"
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Quasi-Regression Monte-Carlo Method for Semi-Linear PDEs and BSDEs
(MDPI 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 ...