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    SIAMNUM
    2010
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    Solving BSDE with Adaptive Control Variate
    12 years 11 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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