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    SIAMNUM
    2010
    126views more  SIAMNUM 2010»
    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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    MOR
    2007
    140views more  MOR 2007»
    Adaptive Control Variates for Finite-Horizon Simulation
    13 years 11 months ago
    Adaptive Control Variates for Finite-Horizon Simulation
    Download  legacy.orie.cornell.edu
    Adaptive Monte Carlo methods are simulation efficiency improvement techniques designed to adaptively tune simulation estimators. Most of the work on adaptive Monte Carlo methods h...
    Sujin Kim, Shane G. Henderson
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