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- W1977443391 abstract "Abstract We present and analyze a numerical algorithm for solving BSDEs based on Picard iterations and on a sequential control variate method. Its convergence is geometric. Moreover, our algorithm provides a regular solution w.r.t. time and space. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)" @default.
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- W1977443391 date "2007-12-01" @default.
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- W1977443391 title "A sequential Monte Carlo algorithm for solving BSDEs" @default.
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- W1977443391 doi "https://doi.org/10.1002/pamm.200700298" @default.
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