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"Discretization and machine learning approximation of BSDEs with a ..."

Idris Kharroubi, Thomas Lim, Xavier Warin (2021)

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DOI: 10.1515/MCMA-2020-2080

access: closed

type: Journal Article

metadata version: 2021-03-25

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Idris Kharroubi, Thomas Lim, Xavier Warin:
Discretization and machine learning approximation of BSDEs with a constraint on the Gains-process. Monte Carlo Methods Appl. 27(1): 27-55 (2021)

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