Pages that link to "Item:Q4902225"
From MaRDI portal
The following pages link to Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing (Q4902225):
Displayed 47 items.
- A convolution method for numerical solution of backward stochastic differential equations (Q518855) (← links)
- Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction (Q670737) (← links)
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations (Q681281) (← links)
- Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs (Q748315) (← links)
- Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise (Q831252) (← links)
- Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations (Q1762334) (← links)
- An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA (Q1980957) (← links)
- Markov cubature rules for polynomial processes (Q1986009) (← links)
- High-order combined multi-step scheme for solving forward backward stochastic differential equations (Q2028543) (← links)
- Multilevel Picard iterations for solving smooth semilinear parabolic heat equations (Q2063953) (← links)
- Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo (Q2088763) (← links)
- Multistep schemes for solving backward stochastic differential equations on GPU (Q2138198) (← links)
- Numerical approximation of singular forward-backward SDEs (Q2168288) (← links)
- Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (Q2201474) (← links)
- A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus (Q2293285) (← links)
- A multi-step scheme based on cubic spline for solving backward stochastic differential equations (Q2301282) (← links)
- On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations (Q2316188) (← links)
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations (Q2327815) (← links)
- A monotone scheme for high-dimensional fully nonlinear PDEs (Q2346082) (← links)
- Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes (Q2364743) (← links)
- A Monte Carlo method for backward stochastic differential equations with Hermite martingales (Q2417976) (← links)
- Second order discretization of backward SDEs and simulation with the cubature method (Q2448692) (← links)
- Runge-Kutta schemes for backward stochastic differential equations (Q2448693) (← links)
- A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo (Q2684920) (← 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)
- The Forward-Backward Stochastic Heat Equation: Numerical Analysis and Simulation (Q2818259) (← links)
- Cubature Methods and Applications (Q2847839) (← links)
- Probabilistic methods for semilinear partial differential equations. Applications to finance (Q4933356) (← links)
- Deep Splitting Method for Parabolic PDEs (Q4958922) (← links)
- Cubature method to solve BSDEs: Error expansion and complexity control (Q4960079) (← links)
- Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme (Q5014247) (← links)
- Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning (Q5019943) (← 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)
- Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing (Q5241903) (← links)
- Numerical Stability Analysis of the Euler Scheme for BSDEs (Q5253605) (← links)
- A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs (Q5254475) (← links)
- A PRIMAL–DUAL ALGORITHM FOR BSDES (Q5283406) (← links)
- On The Error Estimate for Cubature on Wiener Space (Q5419406) (← links)
- Cubature Method for Stochastic Volterra Integral Equations (Q6070668) (← links)
- Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems (Q6143826) (← links)
- Numerical methods for backward stochastic differential equations: a survey (Q6158181) (← links)
- Stability of backward stochastic differential equations: the general Lipschitz case (Q6165206) (← links)
- Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations (Q6201366) (← links)