Pages that link to "Item:Q2454405"

The following pages link to Simulation of BSDEs by Wiener chaos expansion (Q2454405):

Displaying 32 items.

• Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (Q256112) (← links)
• Simulation of BSDEs with jumps by Wiener chaos expansion (Q271886) (← links)
• A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility (Q274837) (← links)
• A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations (Q326804) (← links)
• Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations (Q516010) (← links)
• Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations (Q681281) (← links)
• Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering (Q681989) (← links)
• Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth (Q1617135) (← links)
• An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA (Q1980957) (← links)
• Multilevel Picard iterations for solving smooth semilinear parabolic heat equations (Q2063953) (← links)
• A fully quantization-based scheme for FBSDEs (Q2101958) (← links)
• Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities (Q2162115) (← links)
• On the speed of convergence of Picard iterations of backward stochastic differential equations (Q2165738) (← links)
• Multilevel Picard approximations of high-dimensional semilinear partial differential equations with locally monotone coefficient functions (Q2165859) (← links)
• Volatility uncertainty quantification in a stochastic control problem applied to energy (Q2176387) (← links)
• Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (Q2201474) (← links)
• Random walk approximation of BSDEs with Hölder continuous terminal condition (Q2278659) (← links)
• On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations (Q2316188) (← links)
• Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations (Q2327815) (← links)
• A Monte Carlo method for backward stochastic differential equations with Hermite martingales (Q2417976) (← links)
• Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations (Q2694433) (← links)
• An overview on deep learning-based approximation methods for partial differential equations (Q2697278) (← links)
• Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions (Q2792367) (← links)
• Wiener Chaos Approach to Optimal Prediction (Q2795088) (← links)
• Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs (Q2833537) (← links)
• Cubature method to solve BSDEs: Error expansion and complexity control (Q4960079) (← 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)
• Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations (Q5161194) (← links)
• Permutation invariant functionals of Lévy processes (Q5367094) (← links)
• Numerical methods for backward stochastic differential equations: a survey (Q6158181) (← links)
• Stability of backward stochastic differential equations: the general Lipschitz case (Q6165206) (← links)