Pages that link to "Item:Q981018"
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The following pages link to On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights (Q981018):
Displayed 14 items.
- 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)
- A probabilistic numerical method for fully nonlinear parabolic PDEs (Q640058) (← links)
- Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering (Q681989) (← links)
- A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus (Q1689689) (← links)
- Product Markovian quantization of a diffusion process with applications to finance (Q2176359) (← links)
- Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (Q2201474) (← links)
- Random walk approximation of BSDEs with Hölder continuous terminal condition (Q2278659) (← 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 higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights (Q2357445) (← links)
- Second order discretization of backward SDEs and simulation with the cubature method (Q2448692) (← links)
- Probabilistic methods for semilinear partial differential equations. Applications to finance (Q4933356) (← links)
- Cubature method to solve BSDEs: Error expansion and complexity control (Q4960079) (← links)