Zobrazeno 1 - 3
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pro vyhledávání: '"Lucas Izydorczyk"'
Usually Fokker–Planck type partial differential equations (PDEs) are well-posed if the initial condition is specified. In this paper, alternatively, we consider the inverse problem which consists in prescribing final data: in particular we give suf
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f7905dba54443ae1f172f885f2684c6e
http://hdl.handle.net/10281/359690
http://hdl.handle.net/10281/359690
We propose a fully backward representation of semilinear PDEs with application to stochastic control. Based on this, we develop a fully backward Monte-Carlo scheme allowing to generate the regression grid, backwardly in time, as the value function is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1bdcbd7129c993c2dd95dc1fd19044b6
http://arxiv.org/abs/2104.13641
http://arxiv.org/abs/2104.13641
Publikováno v:
Geometry and Invariance in Stochastic Dynamics ISBN: 9783030874315
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::26d1849eb3679aedd2065702b03044d5
https://doi.org/10.1007/978-3-030-87432-2_10
https://doi.org/10.1007/978-3-030-87432-2_10