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20052008
most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations · 475 across the 4 of their papers we have counts for

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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…

math.ST2005

Nonparametric estimation of scalar diffusions based on low frequency data

Emmanuel Gobet, Marc Hoffmann, Markus Reiss

We study the problem of estimating the coefficients of a diffusion (X_t,t\geq 0); the estimation is based on discrete data X_{nΔ},n=0,1,...,N. The sampling frequency Δ^{-1} is cons…