Pages that link to "Item:Q2485757"
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The following pages link to Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (Q2485757):
Displaying 50 items.
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations (Q2327815) (← links)
- A monotone scheme for high-dimensional fully nonlinear PDEs (Q2346082) (← links)
- Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE (Q2354152) (← links)
- Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps (Q2354898) (← links)
- Feynman-Kac representation of fully nonlinear PDEs and applications (Q2355853) (← links)
- On the convergence of monotone schemes for path-dependent PDEs (Q2359701) (← links)
- Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs (Q2361013) (← links)
- Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes (Q2364743) (← links)
- Reducing variance in the numerical solution of BSDEs (Q2376608) (← links)
- A Monte Carlo method for backward stochastic differential equations with Hermite martingales (Q2417976) (← links)
- On stochastic optimal control in ferromagnetism (Q2423381) (← links)
- A numerical algorithm for a class of BSDEs via the branching process (Q2434758) (← links)
- A generalized Girsanov transformation of finite state stochastic processes in discrete time (Q2444373) (← links)
- Second order backward stochastic differential equations with quadratic growth (Q2447731) (← links)
- Second order discretization of backward SDEs and simulation with the cubature method (Q2448692) (← links)
- Runge-Kutta schemes for backward stochastic differential equations (Q2448693) (← links)
- Simulation of BSDEs by Wiener chaos expansion (Q2454405) (← links)
- A forward scheme for backward SDEs (Q2464848) (← links)
- Approximation scheme for solutions of backward stochastic differential equations via the representation theorem (Q2469438) (← links)
- Discrete-time approximation of decoupled Forward-Backward SDE with jumps (Q2469490) (← links)
- Time discretization and Markovian iteration for coupled FBSDEs (Q2476402) (← links)
- A forward-backward stochastic algorithm for quasi-linear PDEs (Q2494576) (← links)
- Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions (Q2515917) (← links)
- Discrete-time approximation for continuously and discretely reflected BSDEs (Q2518617) (← links)
- A regression-based Monte Carlo method to solve backward stochastic differential equations (Q2572405) (← links)
- BSDE, path-dependent PDE and nonlinear Feynman-Kac formula (Q2629534) (← links)
- On the estimation of backward stochastic differential equations (Q2631290) (← links)
- A Fourier transform method for solving backward stochastic differential equations (Q2671235) (← links)
- Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection (Q2671657) (← links)
- A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo (Q2684920) (← links)
- Numerical resolution of McKean-Vlasov FBSDEs using neural networks (Q2684929) (← links)
- Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations (Q2694433) (← links)
- An overview on deep learning-based approximation methods for partial differential equations (Q2697278) (← links)
- Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions (Q2792367) (← links)
- Stability of regression-based Monte Carlo methods for solving nonlinear PDEs (Q2802033) (← links)
- A dual algorithm for stochastic control problems: applications to uncertain volatility models and CVA (Q2808183) (← links)
- The forward-backward stochastic heat equation: numerical analysis and simulation (Q2818259) (← links)
- Cubature Methods and Applications (Q2847839) (← links)
- Discrete-time approximation of decoupled forward-backward stochastic differential equations driven by pure jump Lévy processes (Q2856036) (← links)
- Option hedging by an influential informed investor (Q2862441) (← links)
- Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (Q2917432) (← links)
- Least-Squares Monte Carlo for Backward SDEs (Q2917434) (← links)
- Swing Options Valuation: A BSDE with Constrained Jumps Approach (Q2917441) (← links)
- Derivation and application of quantum Hamilton equations of motion (Q2970930) (← links)
- HEDGING SWING OPTIONS (Q3005962) (← links)
- Portfolio Optimization with Stochastic Volatilities: A Backward Approach (Q3094218) (← links)
- SOLVABILITY AND NUMERICAL SIMULATION OF BSDEs RELATED TO BSPDEs WITH APPLICATIONS TO UTILITY MAXIMIZATION (Q3094326) (← links)
- <i>L</i><sup><i>p</i></sup>-Solutions for Doubly Reflected Backward Stochastic Differential Equations (Q3114564) (← links)
- Numerical Method for Reflected Backward Stochastic Differential Equations (Q3114568) (← links)
- Duality and Approximation of Stochastic Optimal Control Problems under Expectation Constraints (Q3382780) (← links)
