Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations (Q2141183)

scientific article; zbMATH DE number 7531247

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English	Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations	scientific article; zbMATH DE number 7531247

Statements

instance of

scholarly article

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title

Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations (English)

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author

Long Teng

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published in

Applied Mathematics and Computation

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publication date

23 May 2022

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full work available at URL

https://arxiv.org/abs/2107.06673

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zbMATH Keywords

backward stochastic differential equations (BSDEs)

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XGBoost

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high-dimensional problem

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regression

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describes a project that uses

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Reflected solutions of backward SDE's, and related obstacle problems for PDE's

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On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

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Numerical Simulations for Full History Recursive Multilevel Picard Approximations for Systems of High-Dimensional Partial Differential Equations

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Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations

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Deep Splitting Method for Parabolic PDEs

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Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations

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Solving high-dimensional partial differential equations using deep learning

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Neural networks-based backward scheme for fully nonlinear PDEs

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Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs

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Deep backward schemes for high-dimensional nonlinear PDEs

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A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs

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A multi-step scheme based on cubic spline for solving backward stochastic differential equations

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High-order combined multi-step scheme for solving forward backward stochastic differential equations

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New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations

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Adapted solution of a backward stochastic differential equation

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Q4029028

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Backward Stochastic Differential Equations in Finance

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Representations and regularities for solutions to BSDEs with reflections

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Probabilistic interpretation for systems of quasilinear parabolic partial differential equations

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Error estimates of the \(\theta\)-scheme for backward stochastic differential equations

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A generalized \(\theta\)-scheme for solving backward stochastic differential equations

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A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations

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Error estimates of the Crank-Nicolson scheme for solving backward stochastic differential equations

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Stochastic gradient boosting.

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Random forests

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Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs

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Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions

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Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations

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A PRIMAL–DUAL ALGORITHM FOR BSDES

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A regression-based Monte Carlo method to solve backward stochastic differential equations

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Linear Multistep Schemes for BSDEs

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Identifiers

Mathematics Subject Classification ID

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10.1016/J.AMC.2022.127119

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Sitelinks

Mathematics(1 entry)

mardi Publication:2141183