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A regression Monte-Carlo method for Backward Doubly Stochastic Differential Equations
regression Monte-Carlo method Stochastic Differential Equations Probability
2011/8/30
Abstract: This paper extends the idea of E.Gobet, J.P.Lemor and X.Warin from the setting of Backward Stochastic Differential Equations to that of Backward Doubly Stochastic Differential equations. We ...