Numerical methods for backward stochastic differential equations: a survey
type: Item
instance of: scholarly article
title: Numerical methods for backward stochastic differential equations: a survey
zbMATH Open document ID: 1515.65023
arXiv ID: 2101.08936
author: Jared Chessari
author: Reiichiro Kawai
author: Yuji Shinozaki
author: Toshihiro Yamada
published in: Probability Surveys
publication date: 2023-05-31T00:00:00Z
full work available at URL: https://arxiv.org/abs/2101.08936
full work available at URL: 23-PS18.full
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 68T07
Mathematics Subject Classification ID: 65-02
zbMATH DE Number: 7690293
zbMATH Keywords: semilinear PDEs
zbMATH Keywords: least-squares regression
zbMATH Keywords: Picard iteration
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: Monte Carlo methods
zbMATH Keywords: deep learning
MaRDI profile type: Publication
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Numerical methods for backward stochastic differential equations: a survey (DOI)
DOI: 10.1214/23-PS18