28 citations · 94 across the 10 of their papers we have counts for
Showing 2013Show all
2 papers · 1 filter
math.ST2013★ 10 cited
Error bounds of MCMC for functions with unbounded stationary variance
Daniel Rudolf, Nikolaus Schweizer
We prove explicit error bounds for Markov chain Monte Carlo (MCMC) methods to compute expectations of functions with unbounded stationary variance. We assume that there is a $p\in(…
q-fin.CP2013★ 28 cited
A primal-dual algorithm for BSDEs
Christian Bender, Nikolaus Schweizer, Jia Zhuo
We generalize the primal-dual methodology, which is popular in the pricing of early-exercise options, to a backward dynamic programming equation associated with time discretization…