Pages that link to "Item:Q882887"
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The following pages link to Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations (Q882887):
Displaying 50 items.
- Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (Q256112) (← links)
- \(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions (Q265284) (← links)
- Numerical computation for backward doubly SDEs with random terminal time (Q308407) (← links)
- Euler time discretization of backward doubly SDEs and application to semilinear SPDEs (Q338206) (← links)
- Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing (Q354190) (← links)
- Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition (Q424522) (← links)
- MCMC design-based non-parametric regression for rare event. application to nested risk computations (Q515537) (← 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)
- Strong approximations of BSDEs in a domain (Q605887) (← links)
- Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers (Q654139) (← links)
- Stochastic optimal control via forward and backward stochastic differential equations and importance sampling (Q680513) (← links)
- Discrete-time probabilistic approximation of path-dependent stochastic control problems (Q744373) (← links)
- A new numerical method for 1-D backward stochastic differential equations without using conditional expectations (Q778246) (← links)
- Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations (Q784734) (← links)
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations (Q882887) (← links)
- Error expansion for the discretization of backward stochastic differential equations (Q886110) (← links)
- Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis (Q893337) (← links)
- Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates (Q939322) (← links)
- \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions (Q981015) (← links)
- On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights (Q981018) (← links)
- Probabilistic representation and approximation for coupled systems of variational inequalities (Q988112) (← links)
- Stochastic \(L^1\)-optimal control via forward and backward sampling (Q1624907) (← links)
- A regression-based numerical scheme for backward stochastic differential equations (Q1695419) (← links)
- Nesting Monte Carlo for high-dimensional non-linear PDEs (Q1713854) (← links)
- An approximation result and Monte Carlo simulation of the adapted solution of the one-dimensional backward stochastic differential equation (Q1787194) (← links)
- A numerical scheme for backward doubly stochastic differential equations (Q1940750) (← links)
- An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA (Q1980957) (← links)
- High-order combined multi-step scheme for solving forward backward stochastic differential equations (Q2028543) (← links)
- Multistep schemes for solving backward stochastic differential equations on GPU (Q2138198) (← links)
- Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities (Q2162115) (← links)
- On conditional cuts for stochastic dual dynamic programming (Q2195564) (← links)
- Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (Q2201474) (← links)
- First-order sensitivity of the optimal value in a Markov decision model with respect to deviations in the transition probability function (Q2216181) (← links)
- ``Regression anytime'' with brute-force SVD truncation (Q2240846) (← links)
- An approximation scheme for stochastic controls in continuous time (Q2257619) (← links)
- Stochastic differential games: a sampling approach via FBSDEs (Q2280204) (← 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 for semi linear PDEs (Q2316193) (← links)
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations (Q2327815) (← links)
- Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps (Q2354898) (← links)
- Feynman-Kac representation of fully nonlinear PDEs and applications (Q2355853) (← links)
- Second order discretization of backward SDEs and simulation with the cubature method (Q2448692) (← links)
- Simulation of BSDEs by Wiener chaos expansion (Q2454405) (← links)
- Discrete-time approximation of decoupled Forward-Backward SDE with jumps (Q2469490) (← links)
- Discrete-time approximation for continuously and discretely reflected BSDEs (Q2518617) (← links)
- A Fourier transform method for solving backward stochastic differential equations (Q2671235) (← 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)
