Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering (Q681989): Difference between revisions

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+Existence and uniqueness of solutions for BSDEs with locally Lipschitz coefficient
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+Error analysis of the optimal quantization algorithm for obstacle problems.
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+A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
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+A stochastic quantization method for nonlinear problems
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+First-Order Schemes in the Numerical Quantization Method
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+A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
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+A forward scheme for backward SDEs
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+A PRIMAL–DUAL ALGORITHM FOR BSDES
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+Least-Squares Monte Carlo for Backward SDEs
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+Conjugate convex functions in optimal stochastic control
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+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
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+Simulation of BSDEs by Wiener chaos expansion
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+Multi-asset American options and parallel quantization
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+How to speed up the quantization tree algorithm with an application to swing options
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+Runge-Kutta schemes for backward stochastic differential equations
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+Numerical simulation of quadratic BSDEs
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+Q4885026
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+On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
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+The Monte-Carlo method for filtering with discrete-time observations
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+A forward-backward stochastic algorithm for quasi-linear PDEs
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+An interpolated stochastic algorithm for quasi-linear PDEs
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+Backward stochastic differential equations with rough drivers
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+Numerical methods for forward-backward stochastic differential equations
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+Backward Stochastic Differential Equations in Finance
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+Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition
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+\(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions
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+Q4271995
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+Error expansion for the discretization of backward stochastic differential equations
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+A regression-based Monte Carlo method to solve backward stochastic differential equations
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+A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations
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+Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs
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+\(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
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+Analytical Approximations of BSDEs with Nonsmooth Driver
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+Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
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+Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
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+Foundations of quantization for probability distributions
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+Distortion mismatch in the quantization of probability measures
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+Backward stochastic differential equations: The locally Lipschitz case
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+A numerical algorithm for a class of BSDEs via the branching process
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+Malliavin calculus for backward stochastic differential equations and application to numerical solutions
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+Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
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+Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections
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+Backward SDEs with constrained jumps and quasi-variational inequalities
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+Backward stochastic differential equations and partial differential equations with quadratic growth.
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+Existence for BSDE with superlinear–quadratic coefficient
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+Functional quantization rate and mean regularity of processes with an application to Lévy processes
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+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
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+Wellposedness of second order backward SDEs
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+A space quantization method for numerical integration
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+Introduction to vector quantization and its applications for numerics
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+Optimal quantization methods for nonlinear filtering with discrete-time observations
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+Optimal quadratic quantization for numerics: the Gaussian case
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+Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options
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+Pointwise Convergence of the Lloyd I  Algorithm in Higher Dimension
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+Q4263364
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+Adapted solution of a backward stochastic differential equation
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+Q4029028
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+A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs
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+Comparative survey on nonlinear filtering methods: the quantization and the particle filtering approaches
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+Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
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+A numerical scheme for BSDEs
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+New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations
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