The following pages link to A numerical scheme for BSDEs (Q1431562):
Displaying 50 items.
- Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations (Q2694433) (← links)
- Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions (Q2792367) (← 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)
- Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs (Q2833537) (← links)
- Cubature Methods and Applications (Q2847839) (← links)
- Least-Squares Monte Carlo for Backward SDEs (Q2917434) (← links)
- Portfolio Optimization with Stochastic Volatilities: A Backward Approach (Q3094218) (← links)
- Numerical Method for Reflected Backward Stochastic Differential Equations (Q3114568) (← links)
- Analytical Approximations of BSDEs with Nonsmooth Driver (Q3195111) (← links)
- Duality and Approximation of Stochastic Optimal Control Problems under Expectation Constraints (Q3382780) (← links)
- TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO (Q3608735) (← links)
- Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting (Q4561942) (← links)
- Optimal selection portfolio problem: a semi-linear PDE approach (Q4648583) (← links)
- Optimal control of harvesting in a stochastic metapopulation model (Q4908881) (← links)
- Probabilistic methods for semilinear partial differential equations. Applications to finance (Q4933356) (← links)
- Deep Splitting Method for Parabolic PDEs (Q4958922) (← links)
- Deep backward schemes for high-dimensional nonlinear PDEs (Q4960067) (← links)
- Cubature method to solve BSDEs: Error expansion and complexity control (Q4960079) (← links)
- Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements (Q4967860) (← links)
- Numerical approximation of general Lipschitz BSDEs with branching processes (Q4967879) (← links)
- Data informed solution estimation for forward-backward stochastic differential equations (Q4995043) (← links)
- Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation (Q4999547) (← links)
- Mean square rate of convergence for random walk approximation of forward-backward SDEs (Q5005033) (← links)
- Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning (Q5019943) (← links)
- Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs (Q5021399) (← links)
- On the Uniqueness of Solutions to Quadratic BSDEs with Non-convex Generators (Q5038291) (← links)
- Solvability of forward–backward stochastic difference equations with finite states (Q5041052) (← links)
- An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations (Q5079565) (← links)
- Asymptotic expansion for forward-backward SDEs with jumps (Q5086422) (← links)
- A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis (Q5123988) (← links)
- High Order Numerical Schemes for Second-Order FBSDEs with Applications to Stochastic Optimal Control (Q5158726) (← links)
- A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems (Q5159762) (← links)
- Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs (Q5162913) (← links)
- Pathwise Dynamic Programming (Q5219679) (← links)
- L2-regularity result for solutions of backward doubly stochastic differential equations (Q5222191) (← links)
- Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing (Q5241903) (← links)
- Numerical Stability Analysis of the Euler Scheme for BSDEs (Q5253605) (← links)
- A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs (Q5254475) (← links)
- A PRIMAL–DUAL ALGORITHM FOR BSDES (Q5283406) (← links)
- Importance Sampling for Backward SDEs (Q5305278) (← links)
- Discrete time approximation of BSDEs driven by a Lévy process (Q5324866) (← links)
- Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation (Q5372031) (← links)
- A stochastic approximation for fully nonlinear free boundary parabolic problems (Q5418783) (← links)
- Approximation Scheme for Solutions of BSDEs with Two Reflecting Barriers (Q5443465) (← links)
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION (Q5459956) (← links)
- Iterative Improvement of Lower and Upper Bounds for Backward SDEs (Q5738163) (← links)
- A First Order Scheme for Backward Doubly Stochastic Differential Equations (Q5741185) (← links)
- A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes (Q5854389) (← links)
- Some analytic approximations for backward stochastic differential equations (Q5865298) (← links)
