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    SIAMNUM
    2010
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    Solving BSDE with Adaptive Control Variate
    13 years 6 months ago
    Solving BSDE with Adaptive Control Variate
    Download  www.cmap.polytechnique.fr
    We present and analyze an algorithm to solve numerically BSDEs based on Picard's iterations and on a sequential control variate technique. Its convergence is geometric. Moreov...
    Emmanuel Gobet, Céline Labart
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