An interpolated stochastic algorithm for quasi-linear PDEs
From MaRDI portal
Recommendations
- A forward-backward stochastic algorithm for quasi-linear PDEs
- Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations
- Numerical Algorithms for Forward-Backward Stochastic Differential Equations
- A forward scheme for backward SDEs
- Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
Cites work
- A forward-backward stochastic algorithm for quasi-linear PDEs
- A practical guide to splines.
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Adapted solution of a backward stochastic differential equation
- Backward stochastic differential equations and partial differential equations with quadratic growth.
- Backward-forward stochastic differential equations
- Burgers-KPZ turbulence. Göttingen lectures
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Distortion mismatch in the quantization of probability measures
- Dynamic Scaling of Growing Interfaces
- Forward-backward stochastic differential equations and their applications
- scientific article; zbMATH DE number 1744773 (Why is no real title available?)
- scientific article; zbMATH DE number 3802533 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 2114382 (Why is no real title available?)
- Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equations
- Numerical Algorithms for Forward-Backward Stochastic Differential Equations
- Numerical methods for forward-backward stochastic differential equations
- On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Time discretization and Markovian iteration for coupled FBSDEs
- Utility maximization in incomplete markets
- Weak existence and uniqueness for forward-backward SDEs
Cited in
(27)- Stochastic maximum principle for optimal control of partial differential equations driven by white noise
- On the homotopy analysis method for backward/forward-backward stochastic differential equations
- Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations
- The use of the stochastic arithmetic to estimate the value of interpolation polynomial with optimal degree
- Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions
- A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems
- McKean Feynman-Kac probabilistic representations of non-linear partial differential equations
- A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations
- Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations
- Forward-backward stochastic differential systems associated to Navier-Stokes equations in the whole space
- A forward-backward stochastic algorithm for quasi-linear PDEs
- Numerical simulation of quadratic BSDEs
- Layer methods for stochastic Navier-Stokes equations using simplest characteristics
- Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
- An overview on deep learning-based approximation methods for partial differential equations
- The central limit theorem for a nonlinear algorithm based on quantization
- Optimal Interpolation for Linear Stochastic Systems
- Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations
- Rational interpolation for stochastic DESs: convergence issues
- New Second-Order Schemes for Forward Backward Stochastic Differential Equations
- A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
- Explicit high order one-step methods for decoupled forward backward stochastic differential equations
- Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations
- Strong approximations of BSDEs in a domain
- Numerical methods for backward stochastic differential equations: a survey
- Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
- Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis
This page was built for publication: An interpolated stochastic algorithm for quasi-linear PDEs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5429493)
