Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
نویسندگان
چکیده
منابع مشابه
Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
We design a numerical scheme for solving the Multi step-forward Dynamic Programming (MDP) equation arising from the time-discretization of backward stochastic differential equations. The generator is assumed to be locally Lipschitz, which includes some cases of quadratic drivers. When the large sequence of conditional expectations is computed using empirical least-squares regressions, under gen...
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ژورنال
عنوان ژورنال: Mathematics of Computation
سال: 2015
ISSN: 0025-5718,1088-6842
DOI: 10.1090/mcom/3013