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SAMM - Statistique, Analyse, Modélisation Multidisciplinaire |  |
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SAMM - Statistique, Analyse, Modélisation Multidisciplinaire | |
| HAL: hal-00607274, version 1 |
| arXiv: 1107.1651 |
| Short view |  Export this paper |
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| A regression Monte-Carlo method for Backward Doubly Stochastic Differential Equations Aboura O. http://hal.archives-ouvertes.fr/hal-00607274 |
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| Publication type: | |
Preprint, Working Paper, ... | ||||||||||||||||||
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| Subject: | |
Mathematics/Probability | ||||||||||||||||||
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| Title: | |
A regression Monte-Carlo method for Backward Doubly Stochastic Differential Equations | ||||||||||||||||||
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| Author(s): | |
Omar Aboura 1 |
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| Abstract: | |
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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| Fulltext language: | |
English | ||||||||||||||||||
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| Production date: | |
2011-07-08 | ||||||||||||||||||
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| hal-00607274, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00607274 | |
| oai:hal.archives-ouvertes.fr:hal-00607274 | |
| From: Omar Aboura | |
| Submitted on: Friday, 8 July 2011 13:43:26 | |
| Updated on: Thursday, 25 April 2013 21:38:45 | |
