Numerical approximation of singular forward-backward SDEs (Q2168288): Difference between revisions

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+Singular forward-backward stochastic differential equations and emissions derivatives
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+Singular FBSDEs and scalar conservation laws driven by diffusion processes
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+Convergence of the deep BSDE method for coupled FBSDEs
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+Solving high-dimensional partial differential equations using deep learning
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+A stochastic particle method for the McKean-Vlasov and the Burgers equation
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+Convergence rate for the approximation of the limit law of weakly interacting particles: Application to the Burgers equation
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+Probabilistic characteristics method for a one-dimensional inviscid scalar conservation law
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+A Forward-Backward SDEs Approach to Pricing in Carbon Markets
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+Q4889859
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+Hyperbolic systems of conservation laws
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+A regression-based Monte Carlo method to solve backward stochastic differential 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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+Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
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+A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
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+Error analysis of the optimal quantization algorithm for obstacle problems.
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+Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
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+Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
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+Second order discretization of backward SDEs and simulation with the cubature method
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+Cubature method to solve BSDEs: Error expansion and complexity control
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+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
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+On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
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+Deep backward schemes for high-dimensional nonlinear PDEs
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+Multilayer feedforward networks are universal approximators
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+Efficient and Practical Implementations of Cubature on Wiener Space
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+Sticky Particles and Scalar Conservation Laws
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