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SOLVING BSDE WITH ADAPTIVE CONTROL VARIATE.

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Title: SOLVING BSDE WITH ADAPTIVE CONTROL VARIATE.
Authors: Gobet, Emmanuel1 emmanuel.gobet@imag.fr, Labart, Céline2 celine.labart@upmc.fr
Source: SIAM Journal on Numerical Analysis. 2010, Vol. 48 Issue 1, p257-277. 21p. 1 Chart, 3 Graphs.
Subjects: Algorithms, Variate difference method, Stochastic convergence, Picard schemes, Stochastic differential equations, Monte Carlo method
Abstract: We present and analyze an algorithm to solve numerically BSDEs based on Picard's iterations and on a sequential control variate technique. Its convergence is geometric. Moreover, the solution provided by our algorithm is regular both w.r.t. time and space. [ABSTRACT FROM AUTHOR]
Copyright of SIAM Journal on Numerical Analysis is the property of Society for Industrial & Applied Mathematics and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
Database: Engineering Source
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DbLabel: Engineering Source
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PubType: Academic Journal
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  Data: SOLVING BSDE WITH ADAPTIVE CONTROL VARIATE.
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  Data: <searchLink fieldCode="AR" term="%22Gobet%2C+Emmanuel%22">Gobet, Emmanuel</searchLink><relatesTo>1</relatesTo><i> emmanuel.gobet@imag.fr</i><br /><searchLink fieldCode="AR" term="%22Labart%2C+Céline%22">Labart, Céline</searchLink><relatesTo>2</relatesTo><i> celine.labart@upmc.fr</i>
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  Data: <searchLink fieldCode="DE" term="%22Algorithms%22">Algorithms</searchLink><br /><searchLink fieldCode="DE" term="%22Variate+difference+method%22">Variate difference method</searchLink><br /><searchLink fieldCode="DE" term="%22Stochastic+convergence%22">Stochastic convergence</searchLink><br /><searchLink fieldCode="DE" term="%22Picard+schemes%22">Picard schemes</searchLink><br /><searchLink fieldCode="DE" term="%22Stochastic+differential+equations%22">Stochastic differential equations</searchLink><br /><searchLink fieldCode="DE" term="%22Monte+Carlo+method%22">Monte Carlo method</searchLink>
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  Data: We present and analyze an algorithm to solve numerically BSDEs based on Picard's iterations and on a sequential control variate technique. Its convergence is geometric. Moreover, the solution provided by our algorithm is regular both w.r.t. time and space. [ABSTRACT FROM AUTHOR]
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  Data: <i>Copyright of SIAM Journal on Numerical Analysis is the property of Society for Industrial & Applied Mathematics and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.)
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        Value: 10.1137/090755060
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      – Code: eng
        Text: English
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        PageCount: 21
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      – SubjectFull: Algorithms
        Type: general
      – SubjectFull: Variate difference method
        Type: general
      – SubjectFull: Stochastic convergence
        Type: general
      – SubjectFull: Picard schemes
        Type: general
      – SubjectFull: Stochastic differential equations
        Type: general
      – SubjectFull: Monte Carlo method
        Type: general
    Titles:
      – TitleFull: SOLVING BSDE WITH ADAPTIVE CONTROL VARIATE.
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            NameFull: Gobet, Emmanuel
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            NameFull: Labart, Céline
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              Text: 2010
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            – TitleFull: SIAM Journal on Numerical Analysis
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