Numerical methods for backward stochastic differential equations: a survey
From MaRDI portal
Publication:6158181
DOI10.1214/23-ps18zbMath1515.65023arXiv2101.08936MaRDI QIDQ6158181
Yuji Shinozaki, Jared Chessari, Toshihiro Yamada, Reiichiro Kawai
Publication date: 31 May 2023
Published in: Probability Surveys (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2101.08936
Malliavin calculusMonte Carlo methodsPicard iterationdeep learningleast-squares regressionsemilinear PDEs
Artificial neural networks and deep learning (68T07) Monte Carlo methods (65C05) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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