location: Current position: Home >> Scientific Research >> Paper Publications

A Multi-Step Algorithm for BSDEs Based On a Predictor-Corrector Scheme and Least-Squares Monte Carlo

Hits:

Affiliation of Author(s):中泰证券金融研究院

Journal:METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY

First Author:韩强

Document Code:ADAC41655A464FB8B1836D1806B42683

Number of Words:5

Translation or Not:no

Date of Publication:2022-02-19

Pre One:5 The least squares estimator of random variables under convex operators on L-F(infinity) (mu) space

Next One:Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation