Numerical approximation of general Lipschitz BSDEs with branching processes
type: Item
instance of: scholarly article
title: Numerical approximation of general Lipschitz BSDEs with branching processes
zbMATH Open document ID: 1416.60070
author: Bruno Bouchard
author: Xiaolu Tan
author: Xavier Warin
published in: ESAIM: Proceedings and Surveys
publication date: 2019-07-11T00:00:00Z
full work available at URL: https://arxiv.org/abs/1710.10933
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60J80
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 7079341
describes a project that uses: StOpt
MaRDI profile type: Publication
OpenAlex ID: W2963493040
arXiv ID: 1710.10933
cites work: Error analysis of the optimal quantization algorithm for obstacle problems.
cites work: Fundamentals and advanced techniques in derivatives hedging. Translated from the French
cites work: Numerical approximation of BSDEs using local polynomial drivers and branching processes
cites work: Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
cites work: Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
cites work: When terminal facelift enforces delta constraints
cites work: Backward Stochastic Differential Equations in Finance
cites work: Applications of Malliavin calculus to Monte Carlo methods in finance
cites work: A regression-based Monte Carlo method to solve backward stochastic differential equations
cites work: Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
cites work: A numerical algorithm for a class of BSDEs via the branching process
cites work: Representation theorems for backward stochastic differential equations
cites work: Application of brownian motion to the equation of kolmogorov-petrovskii-piskunov
cites work: Branching Diffusion Processes
cites work: On the branching process for Brownian particles with an absorbing boundary
cites work: Some non-monotone schemes for time dependent Hamilton-Jacobi-Bellman equations in stochastic control
cites work: Nesting Monte Carlo for high-dimensional non-linear PDEs
cites work: A numerical scheme for BSDEs
DOI: 10.1051/PROC/201965309
description: scientific article; zbMATH DE number 7079341