Solving BSDE with Adaptive Control Variate
نویسندگان
چکیده
منابع مشابه
Solving BSDE with Adaptive Control Variate
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.
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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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ژورنال
عنوان ژورنال: SIAM Journal on Numerical Analysis
سال: 2010
ISSN: 0036-1429,1095-7170
DOI: 10.1137/090755060