Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression (Q5963510): Difference between revisions

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scientific article; zbMATH DE number 6543279

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English	Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression	scientific article; zbMATH DE number 6543279

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instance of

scholarly article

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title

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

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22 February 2016

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full work available at URL

https://arxiv.org/abs/1601.01186

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https://projecteuclid.org/euclid.bj/1443620859

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zbMATH Keywords

backward stochastic differential equations

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numerical scheme

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dynamic programming equation

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empirical regressions

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Malliavin calculus

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non-asymptotic error estimates

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MaRDI profile type

MaRDI publication profile

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cites work

Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach

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Least-Squares Monte Carlo for Backward SDEs

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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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Numerical simulation of quadratic BSDEs

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

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Weak existence and uniqueness for forward-backward SDEs

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Applications of Malliavin calculus to Monte Carlo methods in finance

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

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Error expansion for the discretization of backward stochastic differential equations

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\(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions

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Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control

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

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Q5689624

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A distribution-free theory of nonparametric regression

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

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Variance Reduction Methods for Simulation of Densities on Wiener Space

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Representation theorems for backward stochastic differential equations

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The Malliavin Calculus and Related Topics

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Numerical simulation of BSDEs with drivers of quadratic growth

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

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Identifiers

zbMATH Open document ID

1339.60094

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DOI

10.3150/14-BEJ667

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5963510

@@ Property / cites work @@
+Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
+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 @@
+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 @@
+Numerical simulation of quadratic BSDEs
@@ Property / cites work: Numerical simulation of quadratic BSDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations
+Normal rank
@@ Property / cites work @@
+Weak existence and uniqueness for forward-backward SDEs
+Normal rank
@@ Property / cites work @@
+Applications of Malliavin calculus to Monte Carlo methods 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 @@
+Error expansion for the discretization of backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+\(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
+Normal rank
@@ Property / cites work @@
+Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
+Normal rank
@@ Property / cites work @@
+Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
+Normal rank
@@ Property / cites work @@
+Q5689624
@@ Property / cites work: Q5689624 / rank @@
+Normal rank
@@ Property / cites work @@
+A distribution-free theory of nonparametric regression
+Normal rank
@@ Property / cites work @@
+Malliavin calculus for backward stochastic differential equations and application to numerical solutions
+Normal rank
@@ Property / cites work @@
+Variance Reduction Methods for Simulation of Densities on Wiener Space
+Normal rank
@@ Property / cites work @@
+Representation theorems for backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical simulation of BSDEs with drivers of quadratic growth
+Normal rank
@@ Property / cites work @@
+Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
+Normal rank