Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (Q2201474): Difference between revisions

@@ Property / cites work @@
+Q4942162
@@ Property / cites work: Q4942162 / rank @@
+Normal rank
@@ Property / cites work @@
+A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
+Normal rank
@@ Property / cites work @@
+Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Deep optimal stopping
@@ Property / cites work: Deep optimal stopping / rank @@
+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 @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Q3656686
@@ Property / cites work: Q3656686 / rank @@
+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 @@
+Machine learning for semi linear PDEs
@@ Property / cites work: Machine learning for semi linear PDEs / rank @@
+Normal rank
@@ Property / cites work @@
+A branching particle system approximation for a class of FBSDEs
+Normal rank
@@ Property / cites work @@
+Linear Multistep Schemes for BSDEs
@@ Property / cites work: Linear Multistep Schemes for BSDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Runge-Kutta schemes for backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Numerical Stability Analysis of the Euler Scheme for BSDEs
+Normal rank
@@ Property / cites work @@
+Numerical simulation of quadratic BSDEs
@@ Property / cites work: Numerical simulation of quadratic BSDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
+Normal rank
@@ Property / cites work @@
+User’s guide to viscosity solutions of second order partial differential equations
+Normal rank
@@ Property / cites work @@
+COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA
+Normal rank
@@ Property / cites work @@
+Probabilistic methods for semilinear partial differential equations. Applications to finance
+Normal rank
@@ Property / cites work @@
+Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
+Normal rank
@@ Property / cites work @@
+Second order discretization of backward SDEs and simulation with the cubature method
+Normal rank
@@ Property / cites work @@
+On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
+Normal rank
@@ Property / cites work @@
+A mild Itô formula for SPDEs
@@ Property / cites work: A mild Itô formula for SPDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical solution of Helmholtz equation by the modified Hopfield finite difference techniques
+Normal rank
@@ Property / cites work @@
+A forward-backward stochastic algorithm for quasi-linear PDEs
+Normal rank
@@ Property / cites work @@
+Numerical methods for forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Recursive valuation of defaultable securities and the timing of resolution of uncertainty
+Normal rank
@@ Property / cites work @@
+Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A probabilistic numerical method for fully nonlinear parabolic PDEs
+Normal rank
@@ Property / cites work @@
+Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes
+Normal rank
@@ Property / cites work @@
+Simulation of BSDEs with jumps by Wiener chaos expansion
+Normal rank
@@ Property / cites work @@
+Solving BSDE with Adaptive Control Variate
@@ Property / cites work: Solving BSDE with Adaptive Control Variate / rank @@
+Normal rank
@@ Property / cites work @@
+A regression-based Monte Carlo method to solve backward stochastic differential 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 @@
+Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
+Normal rank
@@ Property / cites work @@
+Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
+Normal rank
@@ Property / cites work @@
+Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation
+Normal rank
@@ Property / cites work @@
+Analysis of the Generalization Error: Empirical Risk Minimization over Deep Artificial Neural Networks Overcomes the Curse of Dimensionality in the Numerical Approximation of Black--Scholes Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+A monotone scheme for high-dimensional fully nonlinear PDEs
+Normal rank
@@ Property / cites work @@
+Solving high-dimensional partial differential equations using deep learning
+Normal rank
@@ Property / cites work @@
+Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
+Normal rank
@@ Property / cites work @@
+A numerical algorithm for a class of BSDEs via the branching process
+Normal rank
@@ Property / cites work @@
+Efficient numerical Fourier methods for coupled forward-backward SDEs
+Normal rank
@@ Property / cites work @@
+Deep backward schemes for high-dimensional nonlinear PDEs
+Normal rank
@@ Property / cites work @@
+A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations
+Normal rank
@@ Property / cites work @@
+Q3101969
@@ Property / cites work: Q3101969 / rank @@
+Normal rank
@@ Property / cites work @@
+Lower error bounds for the stochastic gradient descent optimization algorithm: sharp convergence rates for slowly and fast decaying learning rates
+Normal rank
@@ Property / cites work @@
+Strong convergence for explicit space-time discrete numerical approximation methods for stochastic Burgers equations
+Normal rank
@@ Property / cites work @@
+Q4039796
@@ Property / cites work: Q4039796 / rank @@
+Normal rank
@@ Property / cites work @@
+Probability theory. A comprehensive course
@@ Property / cites work: Probability theory. A comprehensive course / rank @@
+Normal rank
@@ Property / cites work @@
+Q4004325
@@ Property / cites work: Q4004325 / rank @@
+Normal rank
@@ Property / cites work @@
+Probabilistic High Order Numerical Schemes for Fully Nonlinear                     Parabolic PDEs
+Normal rank
@@ Property / cites work @@
+A parallel algorithm for solving BSDEs
@@ Property / cites work: A parallel algorithm for solving BSDEs / rank @@
+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 @@
+Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs
+Normal rank
@@ Property / cites work @@
+Numerical method for backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential equations and their applications
+Normal rank
@@ Property / cites work @@
+Application of brownian motion to the equation of kolmogorov-petrovskii-piskunov
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4319807
@@ Property / cites work: Q4319807 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Algorithms for Forward-Backward Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations
+Normal rank
@@ Property / cites work @@
+Tractability of multivariate problems. Volume II: Standard information for functionals.
+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 @@
+Forward-backward stochastic differential equations and quasilinear parabolic PDEs
+Normal rank
@@ Property / cites work @@
+Feynman-Kac representation of fully nonlinear PDEs and applications
+Normal rank
@@ Property / cites work @@
+A concise course on stochastic partial differential equations
+Normal rank
@@ Property / cites work @@
+Monte Carlo solution of Cauchy problem for a nonlinear parabolic equation
+Normal rank
@@ Property / cites work @@
+A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs
+Normal rank
@@ Property / cites work @@
+Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
+Normal rank
@@ Property / cites work @@
+DGM: a deep learning algorithm for solving partial differential equations
+Normal rank
@@ Property / cites work @@
+Branching Diffusion Processes
@@ Property / cites work: Branching Diffusion Processes / rank @@
+Normal rank
@@ Property / cites work @@
+A review of numerical methods for nonlinear partial differential equations
+Normal rank
@@ Property / cites work @@
+Galerkin finite element methods for parabolic problems
+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 @@
+Numerical solution of parabolic equations in high dimensions
+Normal rank
@@ Property / cites work @@
+Nesting Monte Carlo for high-dimensional non-linear PDEs
+Normal rank
@@ Property / cites work @@
+On the branching process for Brownian particles with an absorbing boundary
+Normal rank
@@ Property / cites work @@
+Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations
+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 / OpenAlex ID @@
+W2921935427
@@ Property / OpenAlex ID: W2921935427 / rank @@
+Normal rank