iSMART: An Iterative Sampling-and-Regression Technique for Solving Martingale-Based PDEs

Tiejun Li, Xiaoguang Li, Fugui Ma

We propose the {\bf i}terative {\bf S}a{\bf M}pling-{\bf A}nd-{\bf R}egression {\bf T}echnique (iSMART) for high-dimensional martingale-based partial differential equations (PDEs)…