Pages that link to "Item:Q2485757"

The following pages link to Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (Q2485757):

Displaying 50 items.

• (Q3550746) (← links)
• Pricing Asset Scheduling Flexibility using Optimal Switching (Q3617303) (← links)
• A discrete-time approximation for doubly reflected BSDEs (Q3625648) (← links)
• Infinite horizon impulse control problem with continuous costs, numerical solutions (Q4584684) (← links)
• Indifference fee rate for variable annuities (Q4585679) (← links)
• The COS method for option valuation under the SABR dynamics (Q4641563) (← links)
• Optimal selection portfolio problem: a semi-linear PDE approach (Q4648583) (← 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)
• Cemracs 2017: numerical probabilistic approach to MFG (Q4967866) (← links)
• Numerical approximation of general Lipschitz BSDEs with branching processes (Q4967879) (← links)
• New Second-Order Schemes for Forward Backward Stochastic Differential Equations (Q4985215) (← links)
• Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models (Q4991044) (← 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)
• A polynomial scheme of asymptotic expansion for backward SDEs and option pricing (Q5001141) (← links)
• Mean square rate of convergence for random walk approximation of forward-backward SDEs (Q5005033) (← links)
• Solving high-dimensional optimal stopping problems using deep learning (Q5014845) (← 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)
• Stochastic grid bundling method for backward stochastic differential equations (Q5031712) (← links)
• European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty (Q5038294) (← links)
• An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method (Q5044095) (← links)
• JDOI variance reduction method and the pricing of American-style options (Q5079357) (← links)
• An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations (Q5079565) (← links)
• Approximating Optimal feedback Controllers of Finite Horizon Control Problems Using Hierarchical Tensor Formats (Q5084512) (← links)
• Asymptotic expansion for forward-backward SDEs with jumps (Q5086422) (← links)
• Sinc-$\theta$ Schemes for Backward Stochastic Differential Equations (Q5093638) (← links)
• A Multistep Scheme to Solve Backward Stochastic Differential Equations for Option Pricing on GPUs (Q5119105) (← links)
• A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis (Q5123988) (← links)
• A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations (Q5156963) (← links)
• Finite Element Methods for Nonlinear Backward Stochastic Partial Differential Equations and Their Error Estimates (Q5157002) (← links)
• Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations (Q5157090) (← links)
• High Order Numerical Schemes for Second-Order FBSDEs with Applications to Stochastic Optimal Control (Q5158726) (← links)
• Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations (Q5161194) (← links)
• Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs (Q5162913) (← links)
• Discrete-type approximations for non-Markovian optimal stopping problems: Part I (Q5205938) (← links)
• An Approximation Scheme for Semilinear Parabolic PDEs with Convex and Coercive Hamiltonians (Q5208749) (← 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)
• Equilibrium Pricing Under Relative Performance Concerns (Q5280244) (← links)
• A PRIMAL–DUAL ALGORITHM FOR BSDES (Q5283406) (← links)
• Importance Sampling for Backward SDEs (Q5305278) (← links)
• Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach (Q5315933) (← links)
• Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation (Q5372031) (← links)
• Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps (Q5372048) (← links)