Reducing variance in the numerical solution of BSDEs (Q2376608): Difference between revisions

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+Pricing and hedging derivative securities in markets with uncertain volatilities
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+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
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+Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
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+A probabilistic numerical method for fully nonlinear parabolic PDEs
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+Solving BSDE with Adaptive Control Variate
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+A regression-based Monte Carlo method to solve backward stochastic differential equations
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+A numerical scheme for BSDEs
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