Stochastic grid bundling method for backward stochastic differential equations
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DOI: 10.1080/00207160.2019.1658868
Abstract: ABSTRACT In this work, we apply the Stochastic Grid Bundling Method (SGBM) to numerically solve backward stochastic differential equations (BSDEs). The SGBM algorithm is based on conditional expectations approximation by means of bundling of Monte… read more here.
Keywords: grid bundling; stochastic differential; backward stochastic; differential equations ... See more keywords