Numerical simulation of quadratic BSDEs (Q259576)

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Language	Label	Description	Also known as
English	Numerical simulation of quadratic BSDEs	scientific article

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scholarly article

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Numerical simulation of quadratic BSDEs (English)

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zbMATH Open document ID

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10.1214/14-AAP1090

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Jean-François Chassagneux

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The Annals of Applied Probability

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publication date

11 March 2016

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full work available at URL

https://arxiv.org/abs/1307.5741

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https://projecteuclid.org/euclid.aoap/1452003239

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

backward stochastic differential equations

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time-discretization

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numerical approximation

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MaRDI profile type

MaRDI publication profile

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Classical and variational differentiability of BSDEs with quadratic growth

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A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS

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Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs

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Least-Squares Monte Carlo for Backward SDEs

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Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

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Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces

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A simple constructive approach to quadratic BSDEs with or without delay

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BSDE with quadratic growth and unbounded terminal value

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Quadratic BSDEs with convex generators and unbounded terminal conditions

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Linear Multistep Schemes for BSDEs

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Runge-Kutta schemes for backward stochastic differential equations

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Numerical Stability Analysis of the Euler Scheme for BSDEs

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Existence, minimality and approximation of solutions to BSDEs with convex drivers

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BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness

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Weak existence and uniqueness for forward-backward SDEs

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A forward-backward stochastic algorithm for quasi-linear PDEs

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An interpolated stochastic algorithm for quasi-linear PDEs

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On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case

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On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions

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Error expansion for the discretization of backward stochastic differential equations

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A regression-based Monte Carlo method to solve backward stochastic differential equations

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\(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions

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Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions

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Foundations of quantization for probability distributions

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Utility maximization in incomplete markets

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Path regularity and explicit convergence rate for BSDE with truncated quadratic growth

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Results on Numerics for FBSDE with Drivers of Quadratic Growth

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Remarks on a characterisation of BMO-martingales

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Continuous exponential martingales and BMO

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Backward stochastic differential equations and partial differential equations with quadratic growth.

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Existence for BSDE with superlinear–quadratic coefficient

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Dynamic exponential utility indifference valuation

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Adapted solution of a backward stochastic differential equation

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Numerical simulation of BSDEs with drivers of quadratic growth

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Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition

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Pricing Via Utility Maximization and Entropy

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Solvability of backward stochastic differential equations with quadratic growth

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A numerical scheme for BSDEs

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