Solving BSDE with adaptive control variate. A note on the rate of convergence of the operator P^k

Abstract : This note is a complement of the paper "Solving BSDE with adaptive control variate". It deals with the convergence of the approximating operator P, based on a non parametric regression technique called local averaging. Although the computations are quite standard (see Hardle '92, Gyorfi etal. '02), the specificities of the paper are the following: - the support of the variables is unbounded; - the error has to be measured using specific L2-norms; - errors on the gradient are provided.
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Pré-publication, Document de travail
2009
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https://hal.archives-ouvertes.fr/hal-00373349
Contributeur : Emmanuel Gobet <>
Soumis le : samedi 4 avril 2009 - 09:00:29
Dernière modification le : jeudi 27 avril 2017 - 09:45:46
Document(s) archivé(s) le : jeudi 10 juin 2010 - 19:45:46

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operator_final.pdf
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  • HAL Id : hal-00373349, version 1

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Emmanuel Gobet, Céline Labart. Solving BSDE with adaptive control variate. A note on the rate of convergence of the operator P^k. 2009. <hal-00373349>

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