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A regression-based Monte Carlo method to solve backward stochastic differential equations

✍ Scribed by Gobet, Emmanuel; Lemor, Jean-Philippe; Warin, Xavier

Book ID: 125480552
Publisher: Institute of Mathematical Statistics
Year: 2005
Tongue: English
Weight: 244 KB
Volume: 15
Category: Article
ISSN: 1050-5164
DOI: 10.1214/105051605000000412

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