Reducing variance in the numerical solution of BSDEs

DOI10.1016/J.CRMA.2013.02.010MaRDI QIDQ2376608zbMATH OpenOpenAlexFDO

Authors Samu Alanko, Marco Avellaneda

Publication date 24 June 2013

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2013.02.010

zbMATH Keywords

algorithmbackward stochastic differential equationsconditional expectation estimatesfinance

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A numerical scheme for BSDEs
• A probabilistic numerical method for fully nonlinear parabolic PDEs
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• Solving BSDE with Adaptive Control Variate

Cited in

(18)

• Variance reduction for discretised diffusions via regression
• ``Regression anytime with brute-force SVD truncation
• A Monte Carlo method for backward stochastic differential equations with Hermite martingales
• Stability of regression-based Monte Carlo methods for solving nonlinear PDEs
• A variance reduction technique for use with the extrapolated Euler method for numerical solution of stochastic differential equations
• European option pricing with stochastic volatility models under parameter uncertainty
• Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
• Pathwise dynamic programming
• A primal-dual algorithm for BSDEs
• In memoriam: Marco Avellaneda (1955–2022)
• A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations
• Numerical methods for backward stochastic differential equations: a survey
• A gradient method for high-dimensional BSDEs
• Exponentially accurate spectral Monte Carlo method for linear PDEs and their error estimates
• Deep Picard iteration for high-dimensional nonlinear PDEs
• The one step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions
• A gradient method for fully nonlinear parabolic differential equations with convex nonlinearity
• Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs

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