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20102018
most citedGlobal existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems

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q-fin.CP2017

Automatic Backward Differentiation for American Monte-Carlo Algorithms (Conditional Expectation)

Christian P. Fries

In this note we derive the backward (automatic) differentiation (adjoint [automatic] differentiation) for an algorithm containing a conditional expectation operator. As an example…