Solving BSDE with Adaptive Control Variate
نویسندگان
چکیده
We present and analyze an algorithm to solve numerically BSDEs based on Picard’s iterations and on a sequential control variate technique. Its convergence is geometric. Moreover, the solution provided by our algorithm is regular both w.r.t. time and space.
منابع مشابه
Solving BSDE with adaptive control variate. A note on the rate of convergence of the operator P
This note is a complement of the paper " Solving BSDE with adaptive control variate " [1]. It deals with the convergence of the approximating operator P, based on a non parametric regression technique called local averaging, and defined in Definition 1.1. Although the computations are quite standard (see [3], [2]), the specificities of the paper are the following • the support of the variables ...
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ورودعنوان ژورنال:
- SIAM J. Numerical Analysis
دوره 48 شماره
صفحات -
تاریخ انتشار 2010