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20022005
most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations

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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…

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…