Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs (Q2326984): Difference between revisions

@@ Property / cites work @@
+Classical and variational differentiability of BSDEs with quadratic growth
+Normal rank
@@ Property / cites work @@
+Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
+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 @@
+Counterparty Credit Risk, Collateral and Funding
@@ Property / cites work: Counterparty Credit Risk, Collateral and Funding / 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 @@
+BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
+Normal rank
@@ Property / cites work @@
+Reflected solutions of backward SDE's, and related obstacle problems for PDE's
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME
+Normal rank
@@ Property / cites work @@
+Derivative pricing under asymmetric and imperfect collateralization and CVA
+Normal rank
@@ Property / cites work @@
+Perturbative expansion technique for non-linear FBSDEs with interacting particle method
+Normal rank
@@ Property / cites work @@
+Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions
+Normal rank
@@ Property / cites work @@
+Asymptotic expansion for forward-backward SDEs with jumps
+Normal rank
@@ Property / cites work @@
+A regression-based Monte Carlo method to solve backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Path regularity and explicit convergence rate for BSDE with truncated quadratic growth
+Normal rank
@@ Property / cites work @@
+Large deviations and asymptotic methods in finance
+Normal rank
@@ Property / cites work @@
+Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A numerical scheme for BSDEs
@@ Property / cites work: A numerical scheme for BSDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations
@@ Property / cites work: Backward Stochastic Differential Equations / rank @@
+Normal rank