Numerical simulation of quadratic BSDEs (Q259576)

From MaRDI portal

Revision as of 15:30, 11 July 2024 by ReferenceBot (talk | contribs) (‎Changed an Item)

(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Jump to:navigation, search

scientific article

Language	Label	Description	Also known as
English	Numerical simulation of quadratic BSDEs	scientific article

Statements

scholarly article

0 references

Numerical simulation of quadratic BSDEs (English)

0 references

zbMATH Open document ID

0 references

10.1214/14-AAP1090

0 references

Jean-François Chassagneux

0 references

0 references

The Annals of Applied Probability

0 references

publication date

11 March 2016

0 references

full work available at URL

https://arxiv.org/abs/1307.5741

0 references

https://projecteuclid.org/euclid.aoap/1452003239

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

zbMATH DE Number

0 references

zbMATH Keywords

backward stochastic differential equations

0 references

time-discretization

0 references

numerical approximation

0 references

MaRDI profile type

MaRDI publication profile

0 references

0 references

Classical and variational differentiability of BSDEs with quadratic growth

0 references

A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS

0 references

Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs

0 references

Least-Squares Monte Carlo for Backward SDEs

0 references

Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

0 references

Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces

0 references

A simple constructive approach to quadratic BSDEs with or without delay

0 references

BSDE with quadratic growth and unbounded terminal value

0 references

Quadratic BSDEs with convex generators and unbounded terminal conditions

0 references

Linear Multistep Schemes for BSDEs

0 references

Runge-Kutta schemes for backward stochastic differential equations

0 references

Numerical Stability Analysis of the Euler Scheme for BSDEs

0 references

Existence, minimality and approximation of solutions to BSDEs with convex drivers

0 references

BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness

0 references

0 references

Weak existence and uniqueness for forward-backward SDEs

0 references

A forward-backward stochastic algorithm for quasi-linear PDEs

0 references

An interpolated stochastic algorithm for quasi-linear PDEs

0 references

On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case

0 references

On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions

0 references

0 references

Error expansion for the discretization of backward stochastic differential equations

0 references

A regression-based Monte Carlo method to solve backward stochastic differential equations

0 references

\(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions

0 references

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

0 references

Foundations of quantization for probability distributions

0 references

Utility maximization in incomplete markets

0 references

Path regularity and explicit convergence rate for BSDE with truncated quadratic growth

0 references

Results on Numerics for FBSDE with Drivers of Quadratic Growth

0 references

Remarks on a characterisation of BMO-martingales

0 references

0 references

Continuous exponential martingales and BMO

0 references

0 references

Backward stochastic differential equations and partial differential equations with quadratic growth.

0 references

Existence for BSDE with superlinear–quadratic coefficient

0 references

Dynamic exponential utility indifference valuation

0 references

0 references

Adapted solution of a backward stochastic differential equation

0 references

Numerical simulation of BSDEs with drivers of quadratic growth

0 references

Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition

0 references

Pricing Via Utility Maximization and Entropy

0 references

Solvability of backward stochastic differential equations with quadratic growth

0 references

A numerical scheme for BSDEs

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:259576

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q259576&oldid=36234957"