Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
نویسندگان
چکیده
منابع مشابه
Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
We design an importance sampling scheme for backward stochastic differential equations (BSDEs) that minimizes the conditional variance occurring in least-squares Monte Carlo (LSMC) algorithms. The Radon-Nikodym derivative depends on the solution of BSDE, and therefore it is computed adaptively within the LSMC procedure. To allow robust error estimates with respect to the unknown change of measu...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2017
ISSN: 0304-4149
DOI: 10.1016/j.spa.2016.07.011