A regression Monte-Carlo method for Backward Doubly Stochastic Differential Equations

We design an importance sampling scheme for backward stochastic differential equa- tions (BSDEs) that minimizes the conditional variance occurring in least-squares Monte Carlo

Keywords: Backward stochastic differential equations, Malliavin calculus, dynamic programming equation, empirical regressions, non-asymptotic error estimates.. MSC 2010: 49L20,

As the spectra of the radicals and their corresponding cations are now available from the same experiment, this allows one to probe the changes in chemical bonding upon

‫ﺍﻨﺘﻅﻤﺕ ﺍﻝﺨﻁﺔ ﻓﻲ ﻓﺼل ﺘﻤﻬﻴﺩﻱ ﻭﺜﻼﺙ ﻓﺼﻭل ﻭﺨﺎﺘﻤﺔ‪ .‬ﺘﻀﻤﻥ ﺍﻝﺘﻤﻬﻴﺩ ﺇﻁﺎﺭﺍ ﻋﺎﻤﺎ ﻋﻥ‬ ‫ﻤﻔﻬﻭﻡ ﺍﻝﻤﺸﺎﺭﻜﺔ ﺍﻝﺴﻴﺎﺴﻴﺔ ﻤﻥ ﺨﻼل ﺘﻌﺭﻴﻔﻬﺎ‪ ،‬ﻤﺴﺘﻭﻴﺎﺘﻬﺎ‪

Key W ords: Adapted solution, antiipating stohasti alulus, bakward doubly SDEs,.. stohasti partial dierential equation, stohasti

Dans le but d’une étude plus approfondie, ce cas traite l’écoulement tridimensionnel et turbulent. Les mêmes géométries précédentes, mais avec z=29.7cm, ont été

Keywords : Backward stochastic differential equations, utility maximisation, viscosity solutions, American options, mean-field games, forward-backward SDEs. Abstract : This thesis

Key Words: Backward Doubly Stochastic Differential Equations, Semilinear Stochastic PDEs, Generalized Backward Doubly Stochastic Differential Equations, Quasilinear