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

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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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+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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+Forward-backward systems for expected utility maximization
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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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+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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+\(L^p\)-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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+Representation theorems for backward stochastic differential equations
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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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+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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+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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+Deferred Correction Methods for Forward Backward Stochastic Differential Equations
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+Stability of solutions of BSDEs with random terminal time
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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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