425 citations · 475 across the 4 of their papers we have counts for
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math.PR2008★ 28 cited
Numerical simulation of BSDEs using empirical regression methods: theory and practice
Emmanuel Gobet, Jean-Philippe Lemor
This article deals with the numerical resolution of backward stochastic differential equations. Firstly, we consider a rather general case where the filtration is generated by a Br…
math.PR2007★ 15 cited
LAMN property for hidden processes: the case of integrated diffusions
Arnaud Gloter, Emmanuel Gobet
In this paper we prove the Local Asymptotic Mixed Normality (LAMN) property for the statistical model given by the observation of local means of a diffusion process . Our data a…
math.PR2005★ 425 cited
A regression-based Monte Carlo method to solve backward stochastic differential equations
Emmanuel Gobet, Jean-Philippe Lemor, Xavier Warin
We are concerned with the numerical resolution of backward stochastic differential equations. We propose a new numerical scheme based on iterative regressions on function bases, wh…