A gradient method for high-dimensional BSDEs
From MaRDI portal
Publication:6554575
DOI10.1515/MCMA-2024-2002zbMATH Open1545.65008MaRDI QIDQ6554575
Mitja Stadje, Antoon Pelsser, Kossi Gnameho
Publication date: 12 June 2024
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical analysis or methods applied to Markov chains (65C40)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Numerical simulation of quadratic BSDEs
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
- Financial modeling, actuarial valuation and solvency in insurance
- Adapted solution of a backward stochastic differential equation
- Error expansion for the discretization of backward stochastic differential equations
- Discretisation of FBSDEs driven by càdlàg martingales
- Efficient numerical Fourier methods for coupled forward-backward SDEs
- Convergence of solutions of discrete reflected backward SDE's and simulations
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Conjugate convex functions in optimal stochastic control
- A numerical scheme for BSDEs
- One order numerical scheme for forward-backward stochastic differential equations
- Modeling uncertainty in flow simulations via generalized polynomial chaos.
- The \(d\)-variate vector Hermite polynomial of order \(k\)
- A simple expression for the multivariate Hermite polynomials
- On the speed of convergence of Picard iterations of backward stochastic differential equations
- Convergence of the deep BSDE method for coupled FBSDEs
- Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs
- A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations
- Reducing variance in the numerical solution of BSDEs
- A Monte Carlo method for backward stochastic differential equations with Hermite martingales
- Second order discretization of backward SDEs and simulation with the cubature method
- Simulation of BSDEs by Wiener chaos expansion
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Utility maximization in incomplete markets
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
- On discretely reflected backward stochastic differential equations
- On a Forward-backward Stochastic System Associated to the Burgers Equation
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- On the Uniform Controllability of the Burgers Equation
- Stochastic Differential Utility
- Backward Stochastic Differential Equations in Finance
- Modeling Variance Risk Premium
- Changes of numéraire, changes of probability measure and option pricing
- Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
- Deep backward schemes for high-dimensional nonlinear PDEs
- Cubature method to solve BSDEs: Error expansion and complexity control
- Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs
- VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD
- Robust Portfolio Choice and Indifference Valuation
- A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
- On the Starting and Stopping Problem: Application in Reversible Investments
- A Posteriori Estimates for Backward SDEs
- Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
This page was built for publication: A gradient method for high-dimensional BSDEs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6554575)