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most citedA Regress-Later Algorithm for Backward Stochastic Differential Equations

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math.PR2017★ 2 cited

A Regress-Later Algorithm for Backward Stochastic Differential Equations

Kossi Gnameho, Mitja Stadje, Antoon Pelsser

This work deals with the numerical approximation of backward stochastic differential equations (BSDEs). We propose a new algorithm which is based on the regression-later approach a…