Pages that link to "Item:Q5317090"
From MaRDI portal
The following pages link to Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control (Q5317090):
Displaying 39 items.
- Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition (Q424522) (← links)
- Computing deltas without derivatives (Q522065) (← links)
- Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations (Q708279) (← links)
- Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space (Q825596) (← links)
- Numerical methods for the pricing of swing options: a stochastic control approach (Q861551) (← links)
- A duality approach for the weak approximation of stochastic differential equations (Q862201) (← links)
- Error expansion for the discretization of backward stochastic differential equations (Q886110) (← links)
- Smart expansion and fast calibration for jump diffusions (Q964692) (← links)
- \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions (Q981015) (← links)
- Computation of the Delta of European options under stochastic volatility models (Q1616804) (← links)
- Sensitivity of rough differential equations: an approach through the omega lemma (Q1690299) (← links)
- Sensitivity analysis of long-term cash flows (Q1788822) (← links)
- Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift (Q2012594) (← links)
- Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. II: The finite horizon case (Q2108885) (← links)
- Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition (Q2120590) (← links)
- Approximation to stochastic variance reduced gradient Langevin dynamics by stochastic delay differential equations (Q2128624) (← links)
- A higher order weak approximation of McKean-Vlasov type SDEs (Q2132430) (← links)
- Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations (Q2196378) (← links)
- On fractional smoothness and \(L_{p}\)-approximation on the Gaussian space (Q2338911) (← links)
- Approximation of quantiles of components of diffusion processes. (Q2574616) (← links)
- Performance of a Markovian neural network versus dynamic programming on a fishing control problem (Q2699283) (← links)
- Sensitivities \textit{via} rough paths (Q2786491) (← links)
- Sensitivity of the joint survival probability for reinsurance schemes (Q2870748) (← links)
- Stochastic optimal control of state constrained systems (Q3015163) (← links)
- GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES (Q3100753) (← links)
- Calculating the Greeks by cubature formulae (Q3503276) (← links)
- THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY (Q4906531) (← links)
- Optimal investment under dynamic risk constraints and partial information (Q4911229) (← links)
- (Q4969241) (← links)
- Learning a functional control for high-frequency finance (Q5051970) (← links)
- Computable Primal and Dual Bounds for Stochastic Control (Q5139676) (← links)
- Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis (Q5228352) (← links)
- Fréchet differentiable drift dependence of Perron–Frobenius and Koopman operators for non-deterministic dynamics (Q5240837) (← links)
- Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity (Q5295323) (← links)
- Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression (Q5963510) (← links)
- Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus (Q6176082) (← links)
- Swing contract pricing: with and without neural networks (Q6581630) (← links)
- An approximate maximum likelihood estimator of drift parameters in a multidimensional diffusion model (Q6591285) (← links)
- Recent developments in machine learning methods for stochastic control and games (Q6615618) (← links)
