{"title":"高维 BSDE 的梯度方法","authors":"Kossi Gnameho, M. Stadje, A. Pelsser","doi":"10.1515/mcma-2024-2002","DOIUrl":null,"url":null,"abstract":"\n We develop a Monte Carlo method to solve backward stochastic differential equations (BSDEs) in high dimensions.\nThe proposed algorithm is based on the regression-later approach using multivariate Hermite polynomials and their gradients.\nWe propose numerical experiments to illustrate its performance.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":null,"pages":null},"PeriodicalIF":0.8000,"publicationDate":"2024-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A gradient method for high-dimensional BSDEs\",\"authors\":\"Kossi Gnameho, M. Stadje, A. Pelsser\",\"doi\":\"10.1515/mcma-2024-2002\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"\\n We develop a Monte Carlo method to solve backward stochastic differential equations (BSDEs) in high dimensions.\\nThe proposed algorithm is based on the regression-later approach using multivariate Hermite polynomials and their gradients.\\nWe propose numerical experiments to illustrate its performance.\",\"PeriodicalId\":46576,\"journal\":{\"name\":\"Monte Carlo Methods and Applications\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.8000,\"publicationDate\":\"2024-02-14\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Monte Carlo Methods and Applications\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1515/mcma-2024-2002\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Monte Carlo Methods and Applications","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/mcma-2024-2002","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
We develop a Monte Carlo method to solve backward stochastic differential equations (BSDEs) in high dimensions.
The proposed algorithm is based on the regression-later approach using multivariate Hermite polynomials and their gradients.
We propose numerical experiments to illustrate its performance.
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