Pages that link to "Item:Q2572405"
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The following pages link to A regression-based Monte Carlo method to solve backward stochastic differential equations (Q2572405):
Displaying 50 items.
- Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (Q256112) (← links)
- Numerical simulation of quadratic BSDEs (Q259576) (← links)
- Simulation of BSDEs with jumps by Wiener chaos expansion (Q271886) (← links)
- Numerical computation for backward doubly SDEs with random terminal time (Q308407) (← links)
- A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations (Q326804) (← links)
- Euler time discretization of backward doubly SDEs and application to semilinear SPDEs (Q338206) (← links)
- Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing (Q354190) (← links)
- BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness (Q358147) (← links)
- Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585) (← links)
- Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition (Q424522) (← links)
- Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition (Q444352) (← links)
- Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations (Q516010) (← links)
- A convolution method for numerical solution of backward stochastic differential equations (Q518855) (← links)
- Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations (Q523374) (← links)
- Sensitivities for Bermudan options by regression methods (Q604677) (← links)
- A probabilistic numerical method for fully nonlinear parabolic PDEs (Q640058) (← links)
- Numerical simulation of BSDEs with drivers of quadratic growth (Q655587) (← links)
- Malliavin calculus for backward stochastic differential equations and application to numerical solutions (Q657705) (← 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)
- Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs (Q748315) (← links)
- A new numerical method for 1-D backward stochastic differential equations without using conditional expectations (Q778246) (← links)
- Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations (Q784734) (← links)
- Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space (Q825596) (← links)
- Valuation of power plants by utility indifference and numerical computation (Q836863) (← links)
- Macroeconomic implications of term structures of interest rates under stochastic differential utility with non-unitary EIS (Q836969) (← links)
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations (Q882887) (← links)
- Error expansion for the discretization of backward stochastic differential equations (Q886110) (← links)
- Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis (Q893337) (← links)
- On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights (Q981018) (← links)
- An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (Q1627727) (← links)
- On the homotopy analysis method for backward/forward-backward stochastic differential equations (Q1678593) (← links)
- Numerical approximation of BSDEs using local polynomial drivers and branching processes (Q1691497) (← links)
- A regression-based numerical scheme for backward stochastic differential equations (Q1695419) (← links)
- Nesting Monte Carlo for high-dimensional non-linear PDEs (Q1713854) (← links)
- Stochastic optimal control of finite ensembles of nanomagnets (Q1742673) (← links)
- Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations (Q1746430) (← links)
- An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA (Q1980957) (← links)
- Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions (Q1999911) (← links)
- Perturbative expansion technique for non-linear FBSDEs with interacting particle method (Q2013321) (← 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)
- An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion (Q2029145) (← links)
- Multilevel Picard iterations for solving smooth semilinear parabolic heat equations (Q2063953) (← links)
- A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems (Q2066980) (← links)
- Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo (Q2088763) (← links)
- High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion (Q2090362) (← links)
- A fully quantization-based scheme for FBSDEs (Q2101958) (← links)
- McKean Feynman-Kac probabilistic representations of non-linear partial differential equations (Q2107414) (← links)
- Multistep schemes for solving backward stochastic differential equations on GPU (Q2138198) (← links)
