A Posteriori Estimates for Backward SDEs

DOI10.1137/120878689zbMath1282.65019OpenAlexW2039236761MaRDI QIDQ5397867

Jessica Steiner, Christian Bender

Publication date: 25 February 2014

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/120878689

zbMATH Keywords

Monte Carlo simulationnumerical approximationBSDE

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (7)

A PRIMAL–DUAL ALGORITHM FOR BSDES ⋮ Least-Squares Monte Carlo for Backward SDEs ⋮ ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO ⋮ A Monte Carlo method for backward stochastic differential equations with Hermite martingales ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework ⋮ A First Order Scheme for Backward Doubly Stochastic Differential Equations

This page was built for publication: A Posteriori Estimates for Backward SDEs