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- Emmanuel Gobet, Plamen Turkedjiev
- Math. Comput.
- 2015

We design a numerical scheme for solving the Multi step-forward Dynamic Programming (MDP) equation arising from the time-discretization of backward stochastic differential equations. The generator is… (More)

We design an importance sampling scheme for backward stochastic differential equations (BSDEs) that minimizes the conditional variance occurring in least-squares Monte Carlo (LSMC) algorithms. The… (More)

Two discretizations of a class of locally Lipschitz Markovian backward stochastic differential equations (BSDEs) are studied. The first is the classical Euler scheme which approximates a projection… (More)

We design a numerical scheme for solving a Dynamic Programming equation with Malliavin weights arising from the time-discretization of backward stochastic differential equations with the integration… (More)

We design a novel algorithm based on Least-Squares Monte Carlo (LSMC) in order to approximate the solution of discrete time dynamic programming equations, like Backward Stochastic Differential… (More)