Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations
Monte Carlo methodsnumerical experimentsmean square convergencestochastic differential equationsfinite differencesquasi-linear parabolic partial differential equationsforward-backward equations
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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)
- A forward-backward stochastic algorithm for quasi-linear PDEs
- Numerical Algorithms for Forward-Backward Stochastic Differential Equations
- scientific article; zbMATH DE number 1069628
- An interpolated stochastic algorithm for quasi-linear PDEs
- Numerical solution of quasilinear parabolic equations and backward stochastic differential equations
- A monotone scheme for high-dimensional fully nonlinear PDEs
- A probabilistic method for numerical solution of quasi-linear parabolic equations
- Numerical Algorithms for Forward-Backward Stochastic Differential Equations
- Layer methods for stochastic Navier-Stokes equations using simplest characteristics
- An interpolated stochastic algorithm for quasi-linear PDEs
- A forward-backward probabilistic algorithm for the incompressible Navier-Stokes equations
- A modified MSA for stochastic control problems
- Solving the Dirichlet problem for Navier-Stokes equations by probabilistic approach
- Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations
- Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
- Discrete-time approximation of decoupled Forward-Backward SDE with jumps
- Monte Carlo method for parabolic equations involving fractional Laplacian
- A forward-backward stochastic algorithm for quasi-linear PDEs
- On the homotopy analysis method for backward/forward-backward stochastic differential equations
- Probabilistic methods for the incompressible Navier-Stokes equations with space periodic conditions
- Solving parabolic stochastic partial differential equations via averaging over characteristics
- Numerical methods for backward stochastic differential equations: a survey
- A class of efficient multistep methods for forward backward stochastic differential equations
- Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
- Stability of backward stochastic differential equations: the general Lipschitz case
- Numerical methods for certain classes of Markovian backward stochastic differential equations and quasi-linear parabolic partial differential equations via Girsanov's theorem
- A convolution method for numerical solution of backward stochastic differential equations
- Numerical solution of quasilinear parabolic equations and backward stochastic differential equations
- Deep splitting method for parabolic PDEs
- Explicit high order one-step methods for decoupled forward backward stochastic differential equations
- High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion
- A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
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