On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights.
Year of publication: |
2010
|
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Authors: | Touzi, Nizar ; Manolarakis, Konstantinos ; Crisan, Dan |
Institutions: | Université Paris-Dauphine |
Subject: | Malliavin calculus | Monte Carlo methods | Weak approximations | BDEs |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in Stochastic Processes and their Applications (2010) v.120, p.1133-1158 |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: |
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On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights
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