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

425 citations · 453 across the 2 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.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…