A Monte Carlo method for backward stochastic differential equations with Hermite martingales

Antoon Pelsser; Kossi Gnameho

doi:10.1515/mcma-2019-2028

A Monte Carlo method for backward stochastic differential equations with Hermite martingales

^*Corresponding author for this work

Research output: Contribution to journal › Article › Academic › peer-review

Original language	English
Pages (from-to)	37-60
Number of pages	24
Journal	Monte Carlo Methods and Applications
Volume	25
Issue number	1
DOIs	https://doi.org/10.1515/mcma-2019-2028
Publication status	Published - Mar 2019

Keywords

Regression
BSDE
ODE
Hermite polynomials
martingale
RUNGE-KUTTA METHODS
NUMERICAL-SIMULATION
BSDES
TIME
APPROXIMATION
CONVERGENCE
SCHEME

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10.1515/mcma-2019-2028

Cite this

@article{4cea362aaff94797803f04c2b8e6d5d8,

title = "A Monte Carlo method for backward stochastic differential equations with Hermite martingales",

keywords = "Regression, BSDE, ODE, Hermite polynomials, martingale, RUNGE-KUTTA METHODS, NUMERICAL-SIMULATION, BSDES, TIME, APPROXIMATION, CONVERGENCE, SCHEME",

author = "Antoon Pelsser and Kossi Gnameho",

year = "2019",

month = mar,

doi = "10.1515/mcma-2019-2028",

language = "English",

volume = "25",

pages = "37--60",

journal = "Monte Carlo Methods and Applications",

issn = "0929-9629",

publisher = "De Gruyter",

number = "1",

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TY - JOUR

T1 - A Monte Carlo method for backward stochastic differential equations with Hermite martingales

AU - Pelsser, Antoon

AU - Gnameho, Kossi

PY - 2019/3

Y1 - 2019/3

KW - Regression

KW - BSDE

KW - ODE

KW - Hermite polynomials

KW - martingale

KW - RUNGE-KUTTA METHODS

KW - NUMERICAL-SIMULATION

KW - BSDES

KW - TIME

KW - APPROXIMATION

KW - CONVERGENCE

KW - SCHEME

U2 - 10.1515/mcma-2019-2028

DO - 10.1515/mcma-2019-2028

M3 - Article

VL - 25

SP - 37

EP - 60

JO - Monte Carlo Methods and Applications

JF - Monte Carlo Methods and Applications

SN - 0929-9629

IS - 1

ER -