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

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English	Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering	scientific article

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scholarly article

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Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering (English)

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Stochastic Processes and their Applications

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publication date

13 February 2018

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full work available at URL

https://arxiv.org/abs/1510.01048

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zbMATH Keywords

optimal quantization theory

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nonlinear filtering problems

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\(L^r\)-optimal quantizers

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MaRDI profile type

MaRDI publication profile

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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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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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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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Adapted solution of a backward stochastic differential equation

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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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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.SPA.2017.05.009

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Sitelinks

Mathematics(1 entry)

mardi Publication:681989

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