Pages that link to "Item:Q2464848"

The following pages link to A forward scheme for backward SDEs (Q2464848):

Displaying 50 items.

• Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (Q256112) (← links)
• Simulation of BSDEs with jumps by Wiener chaos expansion (Q271886) (← links)
• A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations (Q326804) (← links)
• Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing (Q354190) (← links)
• Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585) (← links)
• Numerical schemes for multivalued backward stochastic differential systems (Q424108) (← links)
• A convolution method for numerical solution of backward stochastic differential equations (Q518855) (← links)
• FBDEs with time delayed generators: \(L^{p}\)-solutions, differentiability, representation formulas and path regularity (Q554465) (← links)
• Malliavin calculus for backward stochastic differential equations and application to numerical solutions (Q657705) (← links)
• Stochastic optimal control via forward and backward stochastic differential equations and importance sampling (Q680513) (← links)
• Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations (Q681281) (← links)
• Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering (Q681989) (← links)
• A new numerical method for 1-D backward stochastic differential equations without using conditional expectations (Q778246) (← links)
• The steepest descent method for forward-backward SDEs (Q850388) (← links)
• On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights (Q981018) (← links)
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme (Q1326299) (← links)
• Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth (Q1617135) (← links)
• Stochastic \(L^1\)-optimal control via forward and backward sampling (Q1624907) (← links)
• An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (Q1627727) (← links)
• On the homotopy analysis method for backward/forward-backward stochastic differential equations (Q1678593) (← links)
• Numerical approximation of BSDEs using local polynomial drivers and branching processes (Q1691497) (← links)
• A regression-based numerical scheme for backward stochastic differential equations (Q1695419) (← links)
• A forward-backward SDE approach to affine models (Q1932521) (← links)
• On securitization, market completion and equilibrium risk transfer (Q1932526) (← links)
• Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions (Q1999911) (← links)
• Perturbative expansion technique for non-linear FBSDEs with interacting particle method (Q2013321) (← links)
• An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion (Q2029145) (← links)
• Multilevel Picard iterations for solving smooth semilinear parabolic heat equations (Q2063953) (← links)
• A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems (Q2066980) (← links)
• Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo (Q2088763) (← links)
• A fully quantization-based scheme for FBSDEs (Q2101958) (← links)
• Convolutional neural network based simulation and analysis for backward stochastic partial differential equations (Q2159857) (← links)
• On the speed of convergence of Picard iterations of backward stochastic differential equations (Q2165738) (← links)
• Multilevel Picard approximations of high-dimensional semilinear partial differential equations with locally monotone coefficient functions (Q2165859) (← links)
• Probabilistic error analysis for some approximation schemes to optimal control problems (Q2173064) (← links)
• An implicit numerical scheme for a class of backward doubly stochastic differential equations (Q2175322) (← links)
• Product Markovian quantization of a diffusion process with applications to finance (Q2176359) (← links)
• An efficient third-order scheme for BSDEs based on nonequidistant difference scheme (Q2200790) (← links)
• Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (Q2201474) (← links)
• Utility maximization via decoupling fields (Q2240471) (← links)
• Second-order schemes for solving decoupled forward backward stochastic differential equations (Q2254815) (← links)
• Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences (Q2273979) (← links)
• Stochastic differential games: a sampling approach via FBSDEs (Q2280204) (← links)
• \(L^2\)-regularity of solutions to linear backward stochastic heat equations, and a numerical application (Q2304327) (← links)
• Explicit deferred correction methods for second-order forward backward stochastic differential equations (Q2316181) (← links)
• On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations (Q2316188) (← links)
• A numerical method for forward-backward stochastic equations with delay and anticipated term (Q2322581) (← links)
• 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)
• Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs (Q2361013) (← links)