A PRIMAL–DUAL ALGORITHM FOR BSDES (Q5283406): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2950427768
@@ Property / OpenAlex ID: W2950427768 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.3694
@@ Property / arXiv ID: 1310.3694 / rank @@
+Normal rank
@@ Property / cites work @@
+Reducing variance in the numerical solution of BSDEs
+Normal rank
@@ Property / cites work @@
+A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
+Normal rank
@@ Property / cites work @@
+Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
+Normal rank
@@ Property / cites work @@
+Solving optimal stopping problems via empirical dual optimization
+Normal rank
@@ Property / cites work @@
+TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
+Normal rank
@@ Property / cites work @@
+Multilevel dual approach for pricing American style derivatives
+Normal rank
@@ Property / cites work @@
+A forward scheme for backward SDEs
@@ Property / cites work: A forward scheme for backward SDEs / rank @@
+Normal rank
@@ Property / cites work @@
+A Posteriori Estimates for Backward SDEs
@@ Property / cites work: A Posteriori Estimates for Backward SDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation for continuously and discretely reflected BSDEs
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation of decoupled Forward-Backward SDE with jumps
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Information Relaxations and Duality in Stochastic Dynamic Programs
+Normal rank
@@ Property / cites work @@
+Numerical simulation of quadratic BSDEs
@@ Property / cites work: Numerical simulation of quadratic BSDEs / rank @@
+Normal rank
@@ Property / cites work @@
+BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
+Normal rank
@@ Property / cites work @@
+A general theory of finite state backward stochastic difference equations
+Normal rank
@@ Property / cites work @@
+COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA
+Normal rank
@@ Property / cites work @@
+Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
+Normal rank
@@ Property / cites work @@
+Recursive valuation of defaultable securities and the timing of resolution of uncertainty
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+A probabilistic numerical method for fully nonlinear parabolic PDEs
+Normal rank
@@ Property / cites work @@
+Error expansion for the discretization of backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+\(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
+Normal rank
@@ Property / cites work @@
+Pricing American Options: A Duality Approach
@@ Property / cites work: Pricing American Options: A Duality Approach / rank @@
+Normal rank
@@ Property / cites work @@
+Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
+Normal rank
@@ Property / cites work @@
+An overview of the valuation of collateralized derivative contracts
+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 @@
+Representations and regularities for solutions to BSDEs with reflections
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
+Normal rank
@@ Property / cites work @@
+Q4235027
@@ Property / cites work: Q4235027 / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products
+Normal rank
@@ Property / cites work @@
+A numerical scheme for BSDEs
@@ Property / cites work: A numerical scheme for BSDEs / rank @@
+Normal rank
@@ Property / cites work @@
+A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations
+Normal rank