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20082026
most citedTime discretization and Markovian iteration for coupled FBSDEs

79 citations · 228 across the 17 of their papers we have counts for

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math.ST2019

`Regression Anytime' with Brute-Force SVD Truncation

Christian Bender, Nikolaus Schweizer

We propose a new least-squares Monte Carlo algorithm for the approximation of conditional expectations in the presence of stochastic derivative weights. The algorithm can serve as…

math.ST2010★ 6 cited

Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus

Christian Bender, Peter Parczewski

We approximate the solution of some linear systems of SDEs driven by a fractional Brownian motion with Hurst parameter in the Wick--Itô sense, including…