Solving martingale-based PDEs becomes a sequence of least-squares regressions on SDE path samples, avoiding nested expectations and adversarial training.
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iSMART: An Iterative Sampling-and-Regression Technique for Solving Martingale-Based PDEs
Solving martingale-based PDEs becomes a sequence of least-squares regressions on SDE path samples, avoiding nested expectations and adversarial training.