Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations (Q516010): Difference between revisions

@@ Property / author @@
-Plamen Turkedjiev
@@ Property / author: Plamen Turkedjiev / rank @@
-Normal rank
@@ Property / author @@
+Plamen Turkedjiev
@@ Property / author: Plamen Turkedjiev / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2512458358
@@ Property / OpenAlex ID: W2512458358 / rank @@
+Normal rank
@@ Property / cites work @@
+Reducing variance in the numerical solution of BSDEs
+Normal rank
@@ Property / cites work @@
+Weak solutions for SPDE's and backward doubly stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
+Normal rank
@@ Property / cites work @@
+Importance Sampling for Backward SDEs
@@ Property / cites work: Importance Sampling for Backward SDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Least-Squares Monte Carlo for Backward SDEs
@@ Property / cites work: Least-Squares Monte Carlo for Backward SDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Preliminary control variates to improve empirical regression methods
+Normal rank
@@ Property / cites work @@
+On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling
+Normal rank
@@ Property / cites work @@
+Simulation of BSDEs by Wiener chaos expansion
@@ Property / cites work: Simulation of BSDEs by Wiener chaos expansion / rank @@
+Normal rank
@@ Property / cites work @@
+Introduction to rare event simulation.
@@ Property / cites work: Introduction to rare event simulation. / rank @@
+Normal rank
@@ Property / cites work @@
+Runge-Kutta schemes for backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Financial modeling. A backward stochastic differential equations perspective
+Normal rank
@@ Property / cites work @@
+Q3613981
@@ Property / cites work: Q3613981 / rank @@
+Normal rank
@@ Property / cites work @@
+A probabilistic numerical method for fully nonlinear parabolic PDEs
+Normal rank
@@ Property / cites work @@
+Solving BSDE with Adaptive Control Variate
@@ Property / cites work: Solving BSDE with Adaptive Control Variate / rank @@
+Normal rank
@@ Property / cites work @@
+A regression-based Monte Carlo method to solve backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations
+Normal rank
@@ Property / cites work @@
+Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs
+Normal rank
@@ Property / cites work @@
+Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
+Normal rank
@@ Property / cites work @@
+Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
+Normal rank
@@ Property / cites work @@
+A distribution-free theory of nonparametric regression
+Normal rank
@@ Property / cites work @@
+Malliavin calculus for backward stochastic differential equations and application to numerical solutions
+Normal rank
@@ Property / cites work @@
+Robust adaptive importance sampling for normal random vectors
+Normal rank
@@ Property / cites work @@
+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / rank @@
+Normal rank
@@ Property / cites work @@
+On some non asymptotic bounds for the Euler scheme
+Normal rank
@@ Property / cites work @@
+Unconstrained recursive importance sampling
@@ Property / cites work: Unconstrained recursive importance sampling / rank @@
+Normal rank
@@ Property / cites work @@
+Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Linear forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Representation theorems for backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Variance Reduction for Simulated Diffusions
@@ Property / cites work: Variance Reduction for Simulated Diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Rare Event Simulation using Monte Carlo Methods
@@ Property / cites work: Rare Event Simulation using Monte Carlo Methods / rank @@
+Normal rank
@@ Property / cites work @@
+Simulation and the Monte Carlo Method
@@ Property / cites work: Simulation and the Monte Carlo Method / rank @@
+Normal rank
@@ Property / cites work @@
+Q4314474
@@ Property / cites work: Q4314474 / rank @@
+Normal rank
@@ Property / cites work @@
+Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
+Normal rank