Pages that link to "Item:Q5254475"

The following pages link to A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs (Q5254475):

Displaying 45 items.

• Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (Q256112) (← links)
• A convolution method for numerical solution of backward stochastic differential equations (Q518855) (← links)
• Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering (Q681989) (← links)
• Efficient numerical Fourier methods for coupled forward-backward SDEs (Q898981) (← links)
• Pricing and hedging vulnerable option with funding costs and collateral (Q1663930) (← links)
• A regression-based numerical scheme for backward stochastic differential equations (Q1695419) (← links)
• An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA (Q1980957) (← links)
• Multistep schemes for forward backward stochastic differential equations with jumps (Q2014031) (← links)
• High-order combined multi-step scheme for solving forward backward stochastic differential equations (Q2028543) (← links)
• A pseudospectral method for option pricing with transaction costs under exponential utility (Q2029418) (← links)
• Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo (Q2088763) (← links)
• Multistep schemes for solving backward stochastic differential equations on GPU (Q2138198) (← links)
• Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations (Q2141183) (← links)
• An efficient third-order scheme for BSDEs based on nonequidistant difference scheme (Q2200790) (← links)
• Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (Q2201474) (← links)
• Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility (Q2247115) (← links)
• A multi-step scheme based on cubic spline for solving backward stochastic differential equations (Q2301282) (← 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)
• Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes (Q2364743) (← links)
• A Fourier transform method for solving backward stochastic differential equations (Q2671235) (← links)
• A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo (Q2684920) (← 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)
• Efficient Computation of Various Valuation Adjustments Under Local Lévy Models (Q4635249) (← links)
• The COS method for option valuation under the SABR dynamics (Q4641563) (← links)
• Probabilistic methods for semilinear partial differential equations. Applications to finance (Q4933356) (← links)
• Deep Splitting Method for Parabolic PDEs (Q4958922) (← links)
• Stochastic grid bundling method for backward stochastic differential equations (Q5031712) (← links)
• A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management (Q5080488) (← links)
• Sinc-$\theta$ Schemes for Backward Stochastic Differential Equations (Q5093638) (← links)
• A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis (Q5123988) (← links)
• Finite Element Methods for Nonlinear Backward Stochastic Partial Differential Equations and Their Error Estimates (Q5157002) (← links)
• A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs (Q5254475) (← links)
• Convergence of a Robust Deep FBSDE Method for Stochastic Control (Q5886857) (← links)
• Sinc-Multistep Schemes for Forward Backward Stochastic Differential Equations (Q5889046) (← links)
• Strong stability preserving multistep schemes for forward backward stochastic differential equations (Q6101598) (← links)
• Numerical methods for backward stochastic differential equations: a survey (Q6158181) (← links)
• ODE-Based Multistep Schemes for Backward Stochastic Differential Equations (Q6191796) (← links)
• Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations (Q6201366) (← links)
• Richardson extrapolation of the Crank-Nicolson scheme for backward stochastic differential equations (Q6565281) (← links)
• Novel multi-step predictor-corrector schemes for backward stochastic differential equations (Q6604189) (← links)
• Richardson extrapolation of the Euler scheme for backward stochastic differential equations (Q6662401) (← links)
• A class of efficient multistep methods for forward backward stochastic differential equations (Q6662420) (← links)
• Discrete-time approximation for backward stochastic differential equations driven by \(G\)-Brownian motion (Q6665576) (← links)