A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus
From MaRDI portal
Publication:2293285
Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Recommendations
- Second order discretization of backward SDEs and simulation with the cubature method
- Numerical methods for forward-backward stochastic differential equations
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- New Second-Order Schemes for Forward Backward Stochastic Differential Equations
Cites work
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation
- A third-order weak approximation of multidimensional Itô stochastic differential equations
- A weak approximation with asymptotic expansion and multidimensional Malliavin weights
- An arbitrary high order weak approximation of SDE and Malliavin Monte Carlo: analysis of probability distribution functions
- An asymptotic expansion with push-down of Malliavin weights
- Error expansion for the discretization of backward stochastic differential equations
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Large deviations and the Malliavin calculus
- Numerical approximation of BSDEs using local polynomial drivers and branching processes
- Second order discretization of Bismut-Elworthy-Li formula: application to sensitivity analysis
- Second order discretization of backward SDEs and simulation with the cubature method
- Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
- Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions
- The Malliavin Calculus and Related Topics
- The partial malliavin calculus and its application to non-linear filtering
Cited in
(8)- A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting
- An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach
- Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
- Second order discretization of backward SDEs and simulation with the cubature method
- Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
- Second order discretization of Bismut-Elworthy-Li formula: application to sensitivity analysis
- A second-order discretization for degenerate systems of stochastic differential equations
- Numerical methods for backward stochastic differential equations: a survey
This page was built for publication: A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2293285)
