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Reducing variance in the numerical solution of BSDEs
Samu Alanko, Marco Avellaneda
Mathematics
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peer-review
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Keyphrases
Numerical Solution
100%
Backward Stochastic Differential Equation
100%
Conditional Expectation
66%
Existing Algorithms
33%
Computational Cost
33%
Time Discretization
33%
Numerical Methods
33%
Differential Equation Method
33%
Time Estimation
33%
Simple Control
33%
Simulation Error
33%
Control Variate Technique
33%
Applications in Finance
33%
Mathematics
Variance
100%
Stochastic Differential Equation
100%
Numerical Solution
100%
Conditional Expectation
66%
Numerical Methods
33%
Computational Cost
33%
Time Estimation
33%
Control Variate
33%
Time Discretization
33%
Engineering
Numerical Solution
100%
Stochastic Differential
100%
Conditional Expectation
66%
Discretization
33%
Numerical Methods
33%
Computational Cost
33%
Economics, Econometrics and Finance
Finance
100%
Numerical Methods
100%
Earth and Planetary Sciences
Mathematical Method
100%