Numerical methods for forward-backward stochastic differential equations
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Publication:2564697
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Cites work
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 3516003 (Why is no real title available?)
- scientific article; zbMATH DE number 3895476 (Why is no real title available?)
- Backward-forward stochastic differential equations
- Black's consol rate conjecture
- Efficient and equilibrium allocations with stochastic differential utility
- Finite Difference Methods for Two-Phase Incompressible Flow in Porous Media
- Hedging options for a large investor and forward-backward SDE's
- Numerical Methods for Convection-Dominated Diffusion Problems Based on Combining the Method of Characteristics with Finite Element or Finite Difference Procedures
- PDE solutions of stochastic differential utility
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
Cited in
(97)- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- Discretization of backward semilinear stochastic evolution equations
- Numerical solutions of backward stochastic differential equations: a finite transposition method
- Optimal consumption and portfolio selection with stochastic differential utility
- On Numerical Approximations of Forward-Backward Stochastic Differential Equations
- One order numerical scheme for forward-backward stochastic differential equations
- Stochastic differential games: a sampling approach via FBSDEs
- Approximation Scheme for Solutions of BSDEs with Two Reflecting Barriers
- Gradient convergence of deep learning-based numerical methods for BSDEs
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- A branching particle system approximation for a class of FBSDEs
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
- A new numerical method for 1-D backward stochastic differential equations without using conditional expectations
- \( G\)-expectation approach to stochastic ordering
- Second order discretization of backward SDEs and simulation with the cubature method
- An interpolated stochastic algorithm for quasi-linear PDEs
- High-order combined multi-step scheme for solving forward backward stochastic differential equations
- Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes
- Numerical method for backward stochastic differential equations
- An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion
- The forward-backward stochastic heat equation: numerical analysis and simulation
- BSDE, path-dependent PDE and nonlinear Feynman-Kac formula
- On the existence of solution to one–dimensional forward–backward sdes
- Discrete-time approximation of decoupled Forward-Backward SDE with jumps
- The steepest descent method for forward-backward SDEs
- Numerical methods for backward stochastic differential equations: a survey
- Stochastic ordering by \(g\)-expectations
- Numerical method for reflected backward stochastic differential equations
- Mean-square convergence of numerical approximations for a class of backward stochastic differential equations
- Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
- A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes
- Approximation scheme for solutions of backward stochastic differential equations via the representation theorem
- A numerical scheme for backward doubly stochastic differential equations
- Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis
- Approximate solvability of forward-backward stochastic differential equations
- High order numerical schemes for second-order FBSDEs with applications to stochastic optimal control
- An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations
- A numerical scheme for BSDEs
- Some analytic approximations for backward stochastic differential equations
- BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
- Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
- A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
- Finite element methods for nonlinear backward stochastic partial differential equations and their error estimates
- On the homotopy analysis method for backward/forward-backward stochastic differential equations
- Discrete-time approximation of decoupled forward-backward stochastic differential equations driven by pure jump Lévy processes
- One-step multi-derivative methods for backward stochastic differential equations
- A multi-step scheme based on cubic spline for solving backward stochastic differential equations
- An explicit multistep scheme for mean-field forward-backward stochastic differential equations
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- A convolution method for numerical solution of backward stochastic differential equations
- New Second-Order Schemes for Forward Backward Stochastic Differential Equations
- Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation
- A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations
- Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps
- Deferred Correction Methods for Forward Backward Stochastic Differential Equations
- Backward stochastic Volterra integral equations -- representation of adapted solutions
- A forward-backward stochastic algorithm for quasi-linear PDEs
- Deep splitting method for parabolic PDEs
- Malliavin calculus for backward stochastic differential equations and application to numerical solutions
- Explicit high order one-step methods for decoupled forward backward stochastic differential equations
- A generalized Neyman-Pearson Lemma for \(g\)-probabilities
- Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
- NUMERICAL SOLUTIONS FOR FORWARD BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS AND ZAKAI EQUATIONS
- Numerical approximation of singular forward-backward SDEs
- Least-squares Monte Carlo for backward SDEs
- A numerical method for forward-backward stochastic equations with delay and anticipated term
- Time discretization and Markovian iteration for coupled FBSDEs
- A parallel four step domain decomposition scheme for coupled forward-backward stochastic differential equations
- Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs
- Numerical methods for forward backward stochastic differential equations
- A monotone scheme for high-dimensional fully nonlinear PDEs
- Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
- Necessary and sufficient conditions of optimality for optimal control problem with initial and terminal costs
- A forward scheme for backward SDEs
- Forward-backward stochastic differential equations: initiation, development and beyond
- A Fourier transform method for solving backward stochastic differential equations
- A modified MSA for stochastic control problems
- Splitting scheme for backward doubly stochastic differential equations
- A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids
- Strong stability preserving multistep schemes for forward backward stochastic differential equations
- Novel multi-step predictor-corrector schemes for backward stochastic differential equations
- A deep learning method for solving multi-dimensional coupled forward-backward doubly SDEs
- Discrete time approximation of BSDEs driven by a Lévy process
- Going forward \& backward with Jin Ma
- Partially observable Markov decision process for perimeter control based on a stochastic macroscopic fundamental diagram
- A polynomial scheme of asymptotic expansion for backward SDEs and option pricing
- Approximation solutions of backward fuzzy stochastic differential equations
- Stability of backward stochastic differential equations: the general Lipschitz case
- Richardson extrapolation of the Crank-Nicolson scheme for backward stochastic differential equations
- A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus
- A unified probabilistic discretization scheme for FBSDEs: stability, consistency, and convergence analysis
- A numerical scheme to solve nonlinear BSDEs with Lipschitz and non-Lipschitz coefficients
- Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
- A class of efficient multistep methods for forward backward stochastic differential equations
- Richardson extrapolation of the Euler scheme for backward stochastic differential equations
- ODE-Based Multistep Schemes for Backward Stochastic Differential Equations
- Stochastic maximum principle for hybrid optimal control problems under partial observation
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