Numerical simulation of quadratic BSDEs (Q259576): Difference between revisions

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+Classical and variational differentiability of BSDEs with quadratic growth
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+A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
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+Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
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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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+Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
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+A simple constructive approach to quadratic BSDEs with or without delay
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+BSDE with quadratic growth and unbounded terminal value
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+Quadratic BSDEs with convex generators and unbounded terminal conditions
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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 Stability Analysis of the Euler Scheme for BSDEs
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+Existence, minimality and approximation of solutions to BSDEs with convex drivers
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+BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
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+Weak existence and uniqueness for forward-backward SDEs
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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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+On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case
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+On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded 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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+\(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
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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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+Utility maximization in incomplete markets
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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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+Remarks on a characterisation of BMO-martingales
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+Continuous exponential martingales and BMO
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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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+Dynamic exponential utility indifference valuation
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+Adapted solution of a backward stochastic differential equation
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+Numerical simulation of BSDEs with drivers of quadratic growth
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+Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition
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+Pricing Via Utility Maximization and Entropy
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+Solvability of backward stochastic differential equations with quadratic growth
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+A numerical scheme for BSDEs
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