Pages that link to "Item:Q2917434"

The following pages link to Least-Squares Monte Carlo for Backward SDEs (Q2917434):

Displaying 45 items.

• Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (Q256112) (← links)
• Numerical simulation of quadratic BSDEs (Q259576) (← links)
• Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations (Q516010) (← links)
• A convolution method for numerical solution of backward stochastic differential equations (Q518855) (← links)
• Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering (Q681989) (← links)
• A regression-based numerical scheme for backward stochastic differential equations (Q1695419) (← links)
• An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA (Q1980957) (← links)
• Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions (Q1999911) (← links)
• High-order combined multi-step scheme for solving forward backward stochastic differential equations (Q2028543) (← links)
• A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems (Q2066980) (← links)
• Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo (Q2088763) (← links)
• Convergence of the deep BSDE method for coupled FBSDEs (Q2223111) (← links)
• ``Regression anytime'' with brute-force SVD truncation (Q2240846) (← links)
• A multi-step scheme based on cubic spline for solving backward stochastic differential equations (Q2301282) (← links)
• Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs (Q2326984) (← links)
• A monotone scheme for high-dimensional fully nonlinear PDEs (Q2346082) (← links)
• A Monte Carlo method for backward stochastic differential equations with Hermite martingales (Q2417976) (← links)
• Simulation of BSDEs by Wiener chaos expansion (Q2454405) (← links)
• Convergence of the embedded mean-variance optimal points with discrete sampling (Q2634609) (← links)
• A Fourier transform method for solving backward stochastic differential equations (Q2671235) (← links)
• Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations (Q2694433) (← links)
• An overview on deep learning-based approximation methods for partial differential equations (Q2697278) (← links)
• Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions (Q2792367) (← links)
• Stability of regression-based Monte Carlo methods for solving nonlinear PDEs (Q2802033) (← links)
• Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs (Q2833537) (← links)
• Backward simulation methods for Monte Carlo statistical inference (Q2872495) (← links)
• ESTIMATING RESIDUAL HEDGING RISK WITH LEAST-SQUARES MONTE CARLO (Q2941057) (← links)
• Efficient Computation of Various Valuation Adjustments Under Local Lévy Models (Q4635249) (← links)
• A class of finite-dimensional numerically solvable McKean-Vlasov control problems (Q4967867) (← links)
• Stochastic grid bundling method for backward stochastic differential equations (Q5031712) (← links)
• Sinc-$\theta$ Schemes for Backward Stochastic Differential Equations (Q5093638) (← links)
• A Multistep Scheme to Solve Backward Stochastic Differential Equations for Option Pricing on GPUs (Q5119105) (← links)
• A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis (Q5123988) (← links)
• Pathwise Dynamic Programming (Q5219679) (← links)
• Variational approach to rare event simulation using least-squares regression (Q5227583) (← links)
• A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs (Q5254475) (← links)
• Iterative Improvement of Lower and Upper Bounds for Backward SDEs (Q5738163) (← links)
• Two-Step Scheme for Backward Stochastic Differential Equations (Q5881315) (← links)
• Convergence of a Robust Deep FBSDE Method for Stochastic Control (Q5886857) (← links)
• Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression (Q5963510) (← links)
• Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning (Q6047503) (← links)
• Numerical methods for backward stochastic differential equations: a survey (Q6158181) (← links)
• Sequential propagation of chaos for mean-field BSDE systems (Q6194041) (← links)
• Deep learning scheme for forward utilities using ergodic BSDEs (Q6586869) (← links)
• Recent developments in machine learning methods for stochastic control and games (Q6615618) (← links)