Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations

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Title
Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
Authors
Keywords
Backward stochastic differential equations, Empirical regressions, Importance sampling
Journal
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
Volume 127, Issue 4, Pages 1171-1203
Publisher
Elsevier BV
Online
2016-08-31
DOI
10.1016/j.spa.2016.07.011

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