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

@@ Property / OpenAlex ID @@
+W2191880838
@@ Property / OpenAlex ID: W2191880838 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.01048
@@ Property / arXiv ID: 1510.01048 / rank @@
+Normal rank
@@ Property / cites work @@
+Existence and uniqueness of solutions for BSDEs with locally Lipschitz coefficient
+Normal rank
@@ Property / cites work @@
+Error analysis of the optimal quantization algorithm for obstacle problems.
+Normal rank
@@ Property / cites work @@
+A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
+Normal rank
@@ Property / cites work @@
+A stochastic quantization method for nonlinear problems
+Normal rank
@@ Property / cites work @@
+First-Order Schemes in the Numerical Quantization Method
+Normal rank
@@ Property / cites work @@
+A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
+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 PRIMAL–DUAL ALGORITHM FOR BSDES
@@ Property / cites work: A PRIMAL–DUAL ALGORITHM FOR BSDES / 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 and Monte-Carlo simulation of backward stochastic differential equations
+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 @@
+Multi-asset American options and parallel quantization
+Normal rank
@@ Property / cites work @@
+How to speed up the quantization tree algorithm with an application to swing options
+Normal rank
@@ Property / cites work @@
+Runge-Kutta schemes for backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Numerical simulation of quadratic BSDEs
@@ Property / cites work: Numerical simulation of quadratic BSDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Q4885026
@@ Property / cites work: Q4885026 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
+Normal rank
@@ Property / cites work @@
+The Monte-Carlo method for filtering with discrete-time observations
+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 rough drivers
+Normal rank
@@ Property / cites work @@
+Numerical methods for forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition
+Normal rank
@@ Property / cites work @@
+\(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions
+Normal rank
@@ Property / cites work @@
+Q4271995
@@ Property / cites work: Q4271995 / rank @@
+Normal rank
@@ Property / cites work @@
+Error expansion for the discretization of backward stochastic differential equations
+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 @@
+\(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
+Normal rank
@@ Property / cites work @@
+Analytical Approximations of BSDEs with Nonsmooth Driver
+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 @@
+Foundations of quantization for probability distributions
+Normal rank
@@ Property / cites work @@
+Distortion mismatch in the quantization of probability measures
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations: The locally Lipschitz case
+Normal rank
@@ Property / cites work @@
+A numerical algorithm for a class of BSDEs via the branching process
+Normal rank
@@ Property / cites work @@
+Malliavin calculus for backward stochastic differential equations and application to numerical solutions
+Normal rank
@@ Property / cites work @@
+Multi-dimensional backward stochastic differential equations of diagonally quadratic generators
+Normal rank
@@ Property / cites work @@
+Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections
+Normal rank
@@ Property / cites work @@
+Backward SDEs with constrained jumps and quasi-variational inequalities
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and partial differential equations with quadratic growth.
+Normal rank
@@ Property / cites work @@
+Existence for BSDE with superlinear–quadratic coefficient
+Normal rank
@@ Property / cites work @@
+Functional quantization rate and mean regularity of processes with an application to Lévy processes
+Normal rank
@@ Property / cites work @@
+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
+Normal rank
@@ Property / cites work @@
+Wellposedness of second order backward SDEs
@@ Property / cites work: Wellposedness of second order backward SDEs / rank @@
+Normal rank
@@ Property / cites work @@
+A space quantization method for numerical integration
+Normal rank
@@ Property / cites work @@
+Introduction to vector quantization and its applications for numerics
+Normal rank
@@ Property / cites work @@
+Optimal quantization methods for nonlinear filtering with discrete-time observations
+Normal rank
@@ Property / cites work @@
+Optimal quadratic quantization for numerics: the Gaussian case
+Normal rank
@@ Property / cites work @@
+Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options
+Normal rank
@@ Property / cites work @@
+Pointwise Convergence of the Lloyd I  Algorithm in Higher Dimension
+Normal rank
@@ Property / cites work @@
+Q4263364
@@ Property / cites work: Q4263364 / rank @@
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Q4029028
@@ Property / cites work: Q4029028 / rank @@
+Normal rank
@@ Property / cites work @@
+A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs
+Normal rank
@@ Property / cites work @@
+Comparative survey on nonlinear filtering methods: the quantization and the particle filtering approaches
+Normal rank
@@ Property / cites work @@
+Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
+Normal rank
@@ Property / cites work @@
+A numerical scheme for BSDEs
@@ Property / cites work: A numerical scheme for BSDEs / rank @@
+Normal rank
@@ Property / cites work @@
+New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations
+Normal rank