Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions (Q1999911): Difference between revisions

@@ Property / DOI @@
-.1016/j.spa.2018.05.009
@@ Property / DOI: 10.1016/j.spa.2018.05.009 / rank @@
-Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2962716160
@@ Property / OpenAlex ID: W2962716160 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.04285
@@ Property / arXiv ID: 1606.04285 / rank @@
+Normal rank
@@ Property / cites work @@
+Classical and variational differentiability of BSDEs with quadratic growth
+Normal rank
@@ Property / cites work @@
+A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
+Normal rank
@@ Property / cites work @@
+Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
+Normal rank
@@ Property / cites work @@
+High dimensional polynomial interpolation on sparse grids
+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 @@
+Least-Squares Monte Carlo for Backward SDEs
@@ Property / cites work: Least-Squares Monte Carlo for Backward SDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Conjugate convex functions in optimal stochastic control
+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 @@
+Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
+Normal rank
@@ Property / cites work @@
+\(L^p\) solutions of backward stochastic differential equations.
+Normal rank
@@ Property / cites work @@
+Counterparty Credit Risk, Collateral and Funding
@@ Property / cites work: Counterparty Credit Risk, Collateral and Funding / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical simulation of quadratic BSDEs
@@ Property / cites work: Numerical simulation of quadratic BSDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Q5169724
@@ Property / cites work: Q5169724 / rank @@
+Normal rank
@@ Property / cites work @@
+Counterparty risk and funding: immersion and beyond
+Normal rank
@@ Property / cites work @@
+Second order discretization of backward SDEs and simulation with the cubature method
+Normal rank
@@ Property / cites work @@
+Contract theory in continuous-time models
@@ Property / cites work: Contract theory in continuous-time models / rank @@
+Normal rank
@@ Property / cites work @@
+A forward-backward stochastic algorithm for quasi-linear PDEs
+Normal rank
@@ Property / cites work @@
+An interpolated stochastic algorithm for quasi-linear PDEs
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
+Normal rank
@@ Property / cites work @@
+Q4344073
@@ Property / cites work: Q4344073 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
+Normal rank
@@ Property / cites work @@
+ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME
+Normal rank
@@ Property / cites work @@
+Momentum-space approach to asymptotic expansion for stochastic filtering
+Normal rank
@@ Property / cites work @@
+Perturbative expansion technique for non-linear FBSDEs with interacting particle method
+Normal rank
@@ Property / cites work @@
+A regression-based Monte Carlo method to solve backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Path regularity and explicit convergence rate for BSDE with truncated quadratic growth
+Normal rank
@@ Property / cites work @@
+Continuous exponential martingales and BMO
@@ Property / cites work: Continuous exponential martingales and BMO / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+On validity of the asymptotic expansion approach in contingent claim analysis
+Normal rank
@@ Property / cites work @@
+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
+Normal rank
@@ Property / cites work @@
+Representation theorems for backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations, backward SDEs, partial differential equations
+Normal rank
@@ Property / cites work @@
+Polynomial interpolation of minimal degree
@@ Property / cites work: Polynomial interpolation of minimal degree / rank @@
+Normal rank
@@ Property / cites work @@
+An asymptotic expansion approach to pricing financial contingent claims
+Normal rank
@@ Property / cites work @@
+A weak approximation with asymptotic expansion and multidimensional Malliavin weights
+Normal rank
@@ Property / cites work @@
+Q4255599
@@ Property / cites work: Q4255599 / rank @@
+Normal rank
@@ Property / cites work @@
+A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+A numerical scheme for BSDEs
@@ Property / cites work: A numerical scheme for BSDEs / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.SPA.2018.05.009
@@ Property / DOI: 10.1016/J.SPA.2018.05.009 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1999911