A regression Monte-Carlo method for Backward Doubly Stochastic Differential Equations

Details A regression Monte-Carlo method for Backward Doubly Stochastic Differential Equations A regression Monte-Carlo method for Backward Doubly Stochastic Differential Equations

2011-07-08

arxiv.org/abs/1107.1651v1

Mathematics

Probability

Scientific paper

This paper extends the idea of E.Gobet, J.P.Lemor and X.Warin from the
setting of Backward Stochastic Differential Equations to that of Backward
Doubly Stochastic Differential equations. We propose some numerical
approximation scheme of these equations introduced by E.Pardoux and S.Peng.

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