高维 BSDE 的梯度方法

IF 0.8 Q3 STATISTICS & PROBABILITY
Kossi Gnameho, M. Stadje, A. Pelsser
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引用次数: 0

摘要

我们开发了一种蒙特卡罗方法,用于求解高维度的后向随机微分方程(BSDE)。我们提出的算法基于后回归方法,使用多元赫米特多项式及其梯度。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A gradient method for high-dimensional BSDEs
We develop a Monte Carlo method to solve backward stochastic differential equations (BSDEs) in high dimensions. The proposed algorithm is based on the regression-later approach using multivariate Hermite polynomials and their gradients. We propose numerical experiments to illustrate its performance.
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来源期刊
Monte Carlo Methods and Applications
Monte Carlo Methods and Applications STATISTICS & PROBABILITY-
CiteScore
1.20
自引率
22.20%
发文量
31
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