Numerical methods for backward stochastic differential equations: a survey (Q6158181): Difference between revisions

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scientific article; zbMATH DE number 7690293

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English	Numerical methods for backward stochastic differential equations: a survey	scientific article; zbMATH DE number 7690293

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scholarly article

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Numerical methods for backward stochastic differential equations: a survey (English)

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Reiichiro Kawai

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Toshihiro Yamada

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Probability Surveys

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publication date

31 May 2023

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full work available at URL

https://arxiv.org/abs/2101.08936

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https://projecteuclid.org/journals/probability-surveys/volume-20/issue-none/Numerical-methods-for-backward-stochastic-differential-equations-A-survey/10.1214/23-PS18.full

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zbMATH Keywords

semilinear PDEs

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least-squares regression

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Picard iteration

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Malliavin calculus

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Monte Carlo methods

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deep learning

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MaRDI profile type

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Discrete-Time Approximation of Decoupled Forward‒Backward Stochastic Differential Equations Driven by Pure Jump Lévy Processes

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Mean field games and applications: numerical aspects

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Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method

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Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements

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Reducing variance in the numerical solution of BSDEs

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Convergence of a Robust Deep FBSDE Method for Stochastic Control

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Cemracs 2017: numerical probabilistic approach to MFG

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Filtration stability of backward sde's

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Central Clearing Valuation Adjustment

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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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Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences

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ADJOINT FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY JUMP DIFFUSION PROCESSES AND ITS APPLICATION TO NONLINEAR FILTERING PROBLEMS

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Data informed solution estimation for forward-backward stochastic differential equations

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Deep Splitting Method for Parabolic PDEs

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Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations

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An overview on deep learning-based approximation methods for partial differential equations

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A forward scheme for backward SDEs

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Importance Sampling for Backward SDEs

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Discretization of backward stochastic Volterra integral equations

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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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A Posteriori Estimates for Backward SDEs

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Time discretization and Markovian iteration for coupled FBSDEs

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A Numerical Scheme for the Quantile Hedging Problem

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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

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Arbitrage‐free XVA

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Conjugate convex functions in optimal stochastic control

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Approximation of BSDE with non Lipschitz coefficient

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Efficient Computation of Various Valuation Adjustments Under Local Lévy Models

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Discrete-time approximation for continuously and discretely reflected BSDEs

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Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view

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On the Malliavin approach to Monte Carlo approximation of conditional expectations

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Discrete-time approximation of decoupled Forward-Backward SDE with jumps

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Regularity of BSDEs with a convex constraint on the gains-process

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Numerical approximation of BSDEs using local polynomial drivers and branching processes

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Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

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Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods

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Donsker-type theorem for BSDEs

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On the robustness of backward stochastic differential equations.

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Donsker-type theorem for BSDEs: rate of convergence

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Simulation of BSDEs by Wiener chaos expansion

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A fully quantization-based scheme for FBSDEs

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Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. II: The finite horizon case

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Propagation of chaos: a review of models, methods and applications. II: Applications

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Linear Multistep Schemes for BSDEs

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Runge-Kutta schemes for backward stochastic differential equations

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Numerical method for FBSDEs of McKean-Vlasov type

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Discrete-time approximation of multidimensional BSDEs with oblique reflections

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Numerical Stability Analysis of the Euler Scheme for BSDEs

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Numerical simulation of quadratic BSDEs

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Cubature method to solve BSDEs: Error expansion and complexity control

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Numerical approximation of singular forward-backward SDEs

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On the wavelet-based SWIFT method for backward stochastic differential equations

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Stochastic grid bundling method for backward stochastic differential equations

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Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

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BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness

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Stability in \(\mathbb D\) of martingales and backward equations under discretization of filtration

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COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA

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Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives

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Counterparty risk and funding: immersion and beyond

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Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations

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Probabilistic methods for semilinear partial differential equations. Applications to finance

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Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing

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Second order discretization of backward SDEs and simulation with the cubature method

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On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights

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Hedging contingent claims with constrained portfolios

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Backward stochastic differential equations with reflection and Dynkin games

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Backward stochastic differential equations with constraints on the gains-process

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The steepest descent method for forward-backward SDEs

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A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations

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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 jumps and their actuarial and financial applications. BSDEs with jumps

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Numerical methods for forward-backward stochastic differential equations

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Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles

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Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles

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The Forward-Backward Stochastic Heat Equation: Numerical Analysis and Simulation

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Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations

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Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning

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On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

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Multilevel Picard iterations for solving smooth semilinear parabolic heat equations

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BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.

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Reflected solutions of backward SDE's, and related obstacle problems for PDE's

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Backward Stochastic Differential Equations in Finance

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A probabilistic numerical method for fully nonlinear parabolic PDEs

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Short-time asymptotic expansions of semilinear evolution equations

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Product Markovian quantization of a diffusion process with applications to finance

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Applications of Malliavin calculus to Monte-Carlo methods in finance. II

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Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps

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An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations

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Multistep schemes for forward backward stochastic differential equations with jumps

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Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes

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A polynomial scheme of asymptotic expansion for backward SDEs and option pricing

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An FBSDE approach to American option pricing with an interacting particle method

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ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME

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Perturbative expansion technique for non-linear FBSDEs with interacting particle method

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Asymptotic expansion for forward-backward SDEs with jumps

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Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions

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Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs

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A Fourier transform method for solving backward stochastic differential equations

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Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition

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Simulation of BSDEs with jumps by Wiener chaos expansion

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Mean square rate of convergence for random walk approximation of forward-backward SDEs

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Random walk approximation of BSDEs with Hölder continuous terminal condition

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Numerical resolution of McKean-Vlasov FBSDEs using neural networks

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Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs

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Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework

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Error expansion for the discretization of backward stochastic differential equations

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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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Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs

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Sequential Control Variates for Functionals of Markov Processes

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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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Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions

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Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression

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Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations

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An Efficient Gradient Projection Method for Stochastic Optimal Control Problems

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One order numerical scheme for forward-backward stochastic differential equations

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Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations

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Uniform error estimates for artificial neural network approximations for heat equations

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A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations

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A monotone scheme for high-dimensional fully nonlinear PDEs

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Reflected BSDE's with discontinuous barrier and application

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On the Starting and Stopping Problem: Application in Reversible Investments

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Reflected BSDEs and mixed game problem

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Approximations for adapted M-solutions of type-II backward stochastic Volterra integral equations

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Solving high-dimensional partial differential equations using deep learning

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Convergence of the deep BSDE method for coupled FBSDEs

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A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo

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A Dual Algorithm for Stochastic Control Problems: Applications to Uncertain Volatility Models and CVA

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Branching diffusion representation of semilinear PDEs and Monte Carlo approximation

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A numerical algorithm for a class of BSDEs via the branching process

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Forward-backward systems for expected utility maximization

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An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion

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Utility maximization in incomplete markets

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Malliavin calculus for backward stochastic differential equations and application to numerical solutions

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Multi-dimensional BSDE with oblique reflection and optimal switching

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Efficient numerical Fourier methods for coupled forward-backward SDEs

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Deep backward schemes for high-dimensional nonlinear PDEs

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Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities

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Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations

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A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations

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Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations

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On the speed of convergence of Picard iterations of backward stochastic differential equations

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A convolution method for numerical solution of backward stochastic differential equations

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Path regularity and explicit convergence rate for BSDE with truncated quadratic growth

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Results on Numerics for FBSDE with Drivers of Quadratic Growth

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SOLVABILITY AND NUMERICAL SIMULATION OF BSDEs RELATED TO BSPDEs WITH APPLICATIONS TO UTILITY MAXIMIZATION

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Discrete approximations of generalized RBSDE with random terminal time

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Proof that deep artificial neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with constant diffusion and nonlinear drift coefficients

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Convergence of the deep BSDE method for FBSDEs with non-Lipschitz coefficients

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Multistep schemes for solving backward stochastic differential equations on GPU

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A Multistep Scheme to Solve Backward Stochastic Differential Equations for Option Pricing on GPUs

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A decomposition approach for the discrete-time approximation of FBSDEs with a jump

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Discretization and machine learning approximation of BSDEs with a constraint on the gains-process

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Discretisation of FBSDEs driven by càdlàg martingales

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Backward stochastic differential equations and partial differential equations with quadratic growth.

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Probabilistic High Order Numerical Schemes for Fully Nonlinear Parabolic PDEs

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On approximation of BSDE and multi-step MLE-processes

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On approximation of the backward stochastic differential equation

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A parallel algorithm for solving BSDEs

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Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations

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A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance

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Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs

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\(L^p\)-error estimates for numerical schemes for solving certain kinds of backward stochastic differential equations

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Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs

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Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth

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A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations

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Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations

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DeepXDE: A Deep Learning Library for Solving Differential Equations

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Numerical method for backward stochastic differential equations

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Solving forward-backward stochastic differential equations explicitly -- a four step scheme

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On Numerical Approximations of Forward-Backward Stochastic Differential Equations

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Representation theorems for backward stochastic differential equations

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Representations and regularities for solutions to BSDEs with reflections

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Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver

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Numerical Method for Reflected Backward Stochastic Differential Equations

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Application of brownian motion to the equation of kolmogorov-petrovskii-piskunov

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Recursive marginal quantization of higher-order schemes

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Convergence of solutions of discrete reflected backward SDE's and simulations

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Numerical Algorithms for Forward-Backward Stochastic Differential Equations

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Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations

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Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations

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A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus

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A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders

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Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing

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Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space

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

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An efficient third-order scheme for BSDEs based on nonequidistant difference scheme

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Stability results for martingale representations: The general case

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Adapted solution of a backward stochastic differential equation

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Stochastic differential equations, backward SDEs, partial differential equations

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A Monte Carlo method for backward stochastic differential equations with Hermite martingales

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Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians

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A General Stochastic Maximum Principle for Optimal Control Problems

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Backward stochastic differential equations and applications to optimal control

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Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations

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Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation

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Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems

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Numerical simulation of BSDEs with drivers of quadratic growth

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Pricing Via Utility Maximization and Entropy

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Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance

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A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs

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A new numerical method for 1-D backward stochastic differential equations without using conditional expectations

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DGM: a deep learning algorithm for solving partial differential equations

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Branching Diffusion Processes

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Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection

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An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations

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Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations

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A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver

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An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach

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Deferred Correction Methods for Forward Backward Stochastic Differential Equations

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Stability analysis of general multistep methods for Markovian backward stochastic differential equations

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Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations

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A multi-step scheme based on cubic spline for solving backward stochastic differential equations

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High-order combined multi-step scheme for solving forward backward stochastic differential equations

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Stability of solutions of BSDEs with random terminal time

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A parallel four step domain decomposition scheme for coupled forward-backward stochastic differential equations

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Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions

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Sinc-$\theta$ Schemes for Backward Stochastic Differential Equations

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Nesting Monte Carlo for high-dimensional non-linear PDEs

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On the branching process for Brownian particles with an absorbing boundary

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Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers

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Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation

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Explicit deferred correction methods for second-order forward backward stochastic differential equations

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A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis

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Numerical aspects of shot noise representation of infinitely divisible laws and related processes

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A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations

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A numerical scheme for BSDEs

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Backward Stochastic Differential Equations

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Solutions of BSDEs with a kind of non-Lipschitz coefficients driven by \(G\)-Brownian motion

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Discretizing a backward stochastic differential equation

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A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations

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New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations

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Second-order schemes for solving decoupled forward backward stochastic differential equations

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A generalized \(\theta\)-scheme for solving backward stochastic differential equations

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Error estimates of the \(\theta\)-scheme for backward stochastic differential equations

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A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations

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A Numerical Method and its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations

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A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations

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High Order Numerical Schemes for Second-Order FBSDEs with Applications to Stochastic Optimal Control

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On the homotopy analysis method for backward/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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10.1214/23-PS18

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Sitelinks

Mathematics(1 entry)

mardi Publication:6158181

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