Pages that link to "Item:Q2792367"

The following pages link to Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions (Q2792367):

Displaying 39 items.

• Numerical simulation of quadratic BSDEs (Q259576) (← links)
• A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility (Q274837) (← links)
• MCMC design-based non-parametric regression for rare event. application to nested risk computations (Q515537) (← 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)
• Discrete-time probabilistic approximation of path-dependent stochastic control problems (Q744373) (← links)
• Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations (Q784734) (← links)
• An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion (Q2029145) (← 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)
• Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations (Q2141183) (← links)
• Deep neural networks based temporal-difference methods for high-dimensional parabolic partial differential equations (Q2168314) (← links)
• Spatial convergence for semi-linear backward stochastic differential equations in Hilbert space: a mild approach (Q2176249) (← links)
• Product Markovian quantization of a diffusion process with applications to finance (Q2176359) (← links)
• Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (Q2201474) (← links)
• Existence, uniqueness and comparison results for BSDEs with Lévy jumps in an extended monotonic generator setting (Q2296120) (← 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 for semi linear PDEs (Q2316193) (← links)
• Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations (Q2327815) (← links)
• Hedging under generalized good-deal bounds and model uncertainty (Q2408899) (← 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)
• Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions (Q2792367) (← links)
• The Forward-Backward Stochastic Heat Equation: Numerical Analysis and Simulation (Q2818259) (← links)
• Stratified Regression Monte-Carlo Scheme for Semilinear PDEs and BSDEs with Large Scale Parallelization on GPUs (Q2833537) (← links)
• Analytical Approximations of BSDEs with Nonsmooth Driver (Q3195111) (← links)
• Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements (Q4967860) (← links)
• Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning (Q5019943) (← links)
• A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes (Q5854389) (← links)
• Two-Step Scheme for Backward Stochastic Differential Equations (Q5881315) (← links)
• Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning (Q6047503) (← links)
• Neural networks for first order HJB equations and application to front propagation with obstacle terms (Q6087416) (← links)
• Numerical methods for backward stochastic differential equations: a survey (Q6158181) (← links)
• Computation of conditional expectations with guarantees (Q6159022) (← links)
• Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces (Q6198082) (← links)
• Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations (Q6201366) (← links)