most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations

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3 papers

math.PR2005★ 425 cited

A regression-based Monte Carlo method to solve backward stochastic differential equations

Emmanuel Gobet, Jean-Philippe Lemor, Xavier Warin

We are concerned with the numerical resolution of backward stochastic differential equations. We propose a new numerical scheme based on iterative regressions on function bases, wh…

nlin.AO2005★ 16 cited

Metamimetic Games : Modeling Metadynamics in Social Cognition

David Chavalarias

Imitation is fundamental in the understanding of social system dynamics. But the diversity of imitation rules employed by modelers proves that the modeling of mimetic processes can…

math.PR2005★ 7 cited

Concentration for independent random variables with heavy tails

Franck Barthe, Patrick Cattiaux, Cyril Roberto

If a random variable is not exponentially integrable, it is known that no concentration inequality holds for an infinite sequence of independent copies. Under mild conditions, we e…