Reducing variance in the numerical solution of BSDEs

DOI10.1016/j.crma.2013.02.010zbMath1269.65004OpenAlexW2098135574MaRDI QIDQ2376608

Marco Avellaneda, Samu Alanko

Publication date: 24 June 2013

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2013.02.010

zbMATH Keywords

algorithmbackward stochastic differential equationsfinanceconditional expectation estimates

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (11)

European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty ⋮ A PRIMAL–DUAL ALGORITHM FOR BSDES ⋮ A Monte Carlo method for backward stochastic differential equations with Hermite martingales ⋮ In memoriam: Marco Avellaneda (1955–2022) ⋮ A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ ``Regression anytime with brute-force SVD truncation ⋮ Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations ⋮ Stability of Regression-Based Monte Carlo Methods for Solving Nonlinear PDEs ⋮ Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs ⋮ Pathwise Dynamic Programming

Cites Work

• A probabilistic numerical method for fully nonlinear parabolic PDEs
• A numerical scheme for BSDEs
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Solving BSDE with Adaptive Control Variate
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• Pricing and hedging derivative securities in markets with uncertain volatilities

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