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

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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…