A PRIMAL–DUAL ALGORITHM FOR BSDES (Q5283406): Difference between revisions

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+Reducing variance in the numerical solution of BSDEs
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+A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
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+Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates
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+Solving optimal stopping problems via empirical dual optimization
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+TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
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+Multilevel dual approach for pricing American style derivatives
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+A forward scheme for backward SDEs
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+A Posteriori Estimates for Backward SDEs
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+Discrete-time approximation for continuously and discretely reflected BSDEs
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+Discrete-time approximation of decoupled Forward-Backward SDE with jumps
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+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
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+Information Relaxations and Duality in Stochastic Dynamic Programs
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+Numerical simulation of quadratic BSDEs
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+BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
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+A general theory of finite state backward stochastic difference equations
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+COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA
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+Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
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+Recursive valuation of defaultable securities and the timing of resolution of uncertainty
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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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+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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+Pricing American Options: A Duality Approach
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+Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
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+An overview of the valuation of collateralized derivative contracts
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+Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
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+The Malliavin Calculus and Related Topics
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+Monte Carlo valuation of American options
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+Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products
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+A numerical scheme for BSDEs
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+A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations
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