Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
From MaRDI portal
Publication:2088763
DOI10.1016/j.cam.2022.114543zbMath1499.60249OpenAlexW4285606636MaRDI QIDQ2088763
Publication date: 6 October 2022
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2022.114543
computational complexitybackward stochastic differential equationhigh order discretizationmultilevel Monte Carlonovel multi-step scheme
Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Cites Work
- Unnamed Item
- Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
- Adapted solution of a backward stochastic differential equation
- Forward-backward stochastic differential equations and their applications
- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- A numerical scheme for BSDEs
- Numerical method for backward stochastic differential equations
- Stationary backward stochastic differential equations and associated partial differential equations
- A multi-step scheme based on cubic spline for solving backward stochastic differential equations
- Runge-Kutta schemes for backward stochastic differential equations
- A forward scheme for backward SDEs
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
- Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
- Least-Squares Monte Carlo for Backward SDEs
- Multilevel Monte Carlo Methods
- Solving BSDE with Adaptive Control Variate
- A General Stochastic Maximum Principle for Optimal Control Problems
- Multilevel Monte Carlo Path Simulation
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- Backward Stochastic Differential Equations in Finance
- Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
- Linear Multistep Schemes for BSDEs
- Numerical Stability Analysis of the Euler Scheme for BSDEs
- A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs
- A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
- Importance Sampling for Backward SDEs
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- Preliminary control variates to improve empirical regression methods
