Numerical methods for backward stochastic differential equations: a survey (Q6158181)

scientific article; zbMATH DE number 7690293

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English	Numerical methods for backward stochastic differential equations: a survey	scientific article; zbMATH DE number 7690293

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Numerical methods for backward stochastic differential equations: a survey (English)

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31 May 2023

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full work available at URL

https://arxiv.org/abs/2101.08936

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https://projecteuclid.org/journals/probability-surveys/volume-20/issue-none/Numerical-methods-for-backward-stochastic-differential-equations-A-survey/10.1214/23-PS18.full

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zbMATH Keywords

semilinear PDEs

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least-squares regression

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Picard iteration

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Malliavin calculus

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Monte Carlo methods

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deep learning

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MaRDI publication profile

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Mathematics(1 entry)

mardi Publication:6158181