Pages that link to "Item:Q2572405"
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The following pages link to A regression-based Monte Carlo method to solve backward stochastic differential equations (Q2572405):
Displaying 50 items.
- Stability of Regression-Based Monte Carlo Methods for Solving Nonlinear PDEs (Q2802033) (← links)
- The Forward-Backward Stochastic Heat Equation: Numerical Analysis and Simulation (Q2818259) (← links)
- Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs (Q2833537) (← links)
- Cubature Methods and Applications (Q2847839) (← links)
- Probabilistic Methods for the Incompressible Navier–Stokes Equations With Space Periodic Conditions (Q2856034) (← links)
- Option hedging by an influential informed investor (Q2862441) (← links)
- An Introduction to Particle Methods with Financial Applications (Q2917424) (← links)
- Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (Q2917432) (← links)
- Least-Squares Monte Carlo for Backward SDEs (Q2917434) (← links)
- Swing Options Valuation: A BSDE with Constrained Jumps Approach (Q2917441) (← links)
- Derivation and application of quantum Hamilton equations of motion (Q2970930) (← links)
- Regression-based algorithms for life insurance contracts with surrender guarantees (Q2994846) (← links)
- SOLVABILITY AND NUMERICAL SIMULATION OF BSDEs RELATED TO BSPDEs WITH APPLICATIONS TO UTILITY MAXIMIZATION (Q3094326) (← links)
- Numerical Method for Reflected Backward Stochastic Differential Equations (Q3114568) (← links)
- ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME (Q3166711) (← links)
- Analytical Approximations of BSDEs with Nonsmooth Driver (Q3195111) (← links)
- General Error Estimates for the Longstaff–Schwartz Least-Squares Monte Carlo Algorithm (Q3387908) (← links)
- Least Square Regression Methods for Bermudan Derivatives and Systems of Functions (Q3463646) (← links)
- Trading against disorderly liquidation of a large position under asymmetric information and market impact (Q4606384) (← links)
- CONVERGENCE OF A LEAST‐SQUARES MONTE CARLO ALGORITHM FOR AMERICAN OPTION PRICING WITH DEPENDENT SAMPLE DATA (Q4635047) (← links)
- Probabilistic methods for semilinear partial differential equations. Applications to finance (Q4933356) (← links)
- Deep backward schemes for high-dimensional nonlinear PDEs (Q4960067) (← links)
- Cubature method to solve BSDEs: Error expansion and complexity control (Q4960079) (← links)
- Numerical approximation of general Lipschitz BSDEs with branching processes (Q4967879) (← links)
- On the parabolic equation for portfolio problems (Q4989156) (← links)
- Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation (Q4999547) (← links)
- Mean square rate of convergence for random walk approximation of forward-backward SDEs (Q5005033) (← links)
- Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning (Q5019943) (← links)
- An Explicit Multistep Scheme for Mean-Field Forward-Backward Stochastic Differential Equations (Q5079565) (← links)
- Finite Element Methods for Nonlinear Backward Stochastic Partial Differential Equations and Their Error Estimates (Q5157002) (← links)
- Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations (Q5157090) (← links)
- Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations (Q5161194) (← links)
- Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs (Q5162913) (← links)
- Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation (Q5372031) (← links)
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION (Q5459956) (← links)
- A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes (Q5854389) (← links)
- Two-Step Scheme for Backward Stochastic Differential Equations (Q5881315) (← links)
- A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations (Q5889064) (← links)
- Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning (Q6047503) (← links)
- Neural networks for first order HJB equations and application to front propagation with obstacle terms (Q6087416) (← links)
- Strong stability preserving multistep schemes for forward backward stochastic differential equations (Q6101598) (← links)
- A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations (Q6114174) (← links)
- Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems (Q6140987) (← links)
- Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems (Q6143826) (← links)
- Numerical methods for backward stochastic differential equations: a survey (Q6158181) (← links)
- Computation of conditional expectations with guarantees (Q6159022) (← links)
- A non-local Fokker-Planck equation with application to probabilistic evaluation of sediment replenishment projects (Q6164866) (← links)
- Stability of backward stochastic differential equations: the general Lipschitz case (Q6165206) (← links)
- How many inner simulations to compute conditional expectations with least-square Monte Carlo? (Q6176176) (← links)
- Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation (Q6177464) (← links)
