Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions

DOI10.1090/mcom/3013zbMath1344.60067MaRDI QIDQ2792367

Plamen Turkedjiev, Emmanuel Gobet

Publication date: 9 March 2016

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/mcom/3013

zbMATH Keywords

backward stochastic differential equations; empirical regressions; non-asymptotic error estimates; dynamic programming scheme

Mathematics Subject Classification ID

62J05: Linear regression; mixed models

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

49L20: Dynamic programming in optimal control and differential games

93E24: Least squares and related methods for stochastic control systems

90C39: Dynamic programming

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Infinite horizon impulse control problem with continuous costs, numerical solutions, A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations, Deep Splitting Method for Parabolic PDEs, Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements, Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning, Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs, Stochastic grid bundling method for backward stochastic differential equations, European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty, Newton Method for Stochastic Control Problems, Variational approach to rare event simulation using least-squares regression, A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs, Equilibrium Pricing Under Relative Performance Concerns, Empirical Regression Method for Backward Doubly Stochastic Differential Equations, Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression, A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes, Two-Step Scheme for Backward Stochastic Differential Equations, Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning, Neural networks for first order HJB equations and application to front propagation with obstacle terms, The Effect of the Number of Neural Networks on Deep Learning Schemes for Solving High Dimensional Nonlinear Backward Stochastic Differential Equations, Numerical methods for backward stochastic differential equations: a survey, Computation of conditional expectations with guarantees, Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces, Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations, Numerical simulation of quadratic BSDEs, A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility, MCMC design-based non-parametric regression for rare event. application to nested risk computations, Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations, Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations, Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering, Discrete-time probabilistic approximation of path-dependent stochastic control problems, Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations, An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion, A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems, Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo, Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations, Deep neural networks based temporal-difference methods for high-dimensional parabolic partial differential equations, Spatial convergence for semi-linear backward stochastic differential equations in Hilbert space: a mild approach, Product Markovian quantization of a diffusion process with applications to finance, Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks, Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting, On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations, Machine learning for semi linear PDEs, Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations, Hedging under generalized good-deal bounds and model uncertainty, A Fourier transform method for solving backward stochastic differential equations, A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo, Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations, An overview on deep learning-based approximation methods for partial differential equations, Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions, The Forward-Backward Stochastic Heat Equation: Numerical Analysis and Simulation, Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs, Analytical Approximations of BSDEs with Nonsmooth Driver

Cites Work

• Unnamed Item
• Unnamed Item
• Numerical simulation of quadratic BSDEs
• Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition
• Numerical simulation of BSDEs with drivers of quadratic growth
• Weak existence and uniqueness for forward-backward SDEs
• Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
• Error expansion for the discretization of backward stochastic differential equations
• Smart expansion and fast calibration for jump diffusions
• \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
• A numerical scheme for BSDEs
• Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
• Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations
• A distribution-free theory of nonparametric regression
• Numerical method for backward stochastic differential equations
• Path regularity and explicit convergence rate for BSDE with truncated quadratic growth
• Simulation of BSDEs by Wiener chaos expansion
• A forward scheme for backward SDEs
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Utility maximization in incomplete markets
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Pricing Via Utility Maximization and Entropy
• Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
• Least-Squares Monte Carlo for Backward SDEs
• Solving BSDE with Adaptive Control Variate
• Backward Stochastic Differential Equations in Finance
• Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
• Importance Sampling for Backward SDEs
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• Preliminary control variates to improve empirical regression methods
• Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression