scientific article; zbMATH DE number 1069628
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Publication:4356591
zbMATH Open0898.90031MaRDI QIDQ4356591FDOQ4356591
Authors: D. Chevance 
Publication date: 8 November 1998
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backward stochastic differential equationsforward-backward SDEsfour step algorithmBally's schemerandom time discretization scheme
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Microeconomic theory (price theory and economic markets) (91B24) Applications to the sciences (65Z05)
Cited In (69)
- Richardson extrapolation of the Crank-Nicolson scheme for backward stochastic differential equations
- Strong stability preserving multistep schemes for forward backward stochastic differential equations
- Computation of conditional expectations with guarantees
- Recent developments in machine learning methods for stochastic control and games
- Differentiability of quadratic forward-backward SDEs with rough drift
- ODE-Based Multistep Schemes for Backward Stochastic Differential Equations
- A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids
- Richardson extrapolation of the Euler scheme for backward stochastic differential equations
- Stability of backward stochastic differential equations: the general Lipschitz case
- Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
- A first order semi-discrete algorithm for backward doubly stochastic differential equations
- A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
- Numerical schemes for multivalued backward stochastic differential systems
- A fully quantization-based scheme for FBSDEs
- Numerical simulation of quadratic BSDEs
- NUMERICAL SOLUTIONS FOR FORWARD BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS AND ZAKAI EQUATIONS
- Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition
- Numerical Algorithms for Forward-Backward Stochastic Differential Equations
- BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness
- One order numerical scheme for forward-backward stochastic differential equations
- Numerical simulation of BSDEs with drivers of quadratic growth
- Numerical approach to asset pricing models with stochastic differential utility
- Malliavin calculus for backward stochastic differential equations and application to numerical solutions
- Error expansion for the discretization of backward stochastic differential equations
- Approximation scheme for solutions of backward stochastic differential equations via the representation theorem
- Random walk approximation of BSDEs with Hölder continuous terminal condition
- A Monte Carlo method for backward stochastic differential equations with Hermite martingales
- A parallel algorithm for solving BSDEs
- A numerical scheme for BSDEs
- Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
- Discrete-time approximation of decoupled forward-backward stochastic differential equations driven by pure jump Lévy processes
- Second order discretization of backward SDEs and simulation with the cubature method
- Reducing variance in the numerical solution of BSDEs
- Least-squares Monte Carlo for backward SDEs
- Numerical method for backward stochastic differential equations
- On the robustness of backward stochastic differential equations.
- Higher-order interpolated lattice schemes for multidimensional option pricing problems
- On the wavelet-based SWIFT method for backward stochastic differential equations
- Second-order schemes for solving decoupled forward backward stochastic differential equations
- New Second-Order Schemes for Forward Backward Stochastic Differential Equations
- Runge-Kutta schemes for backward stochastic differential equations
- On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
- A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations
- Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- A forward-backward stochastic algorithm for quasi-linear PDEs
- Numerical solutions of backward stochastic differential equations: a finite transposition method
- On the homotopy analysis method for backward/forward-backward stochastic differential equations
- Time discretization and Markovian iteration for coupled FBSDEs
- An implicit numerical scheme for a class of backward doubly stochastic differential equations
- A new numerical method for 1-D backward stochastic differential equations without using conditional expectations
- Solving backward stochastic differential equations using the cubature method: application to nonlinear pricing
- The steepest descent method for forward-backward SDEs
- A numerical scheme for backward doubly stochastic differential equations
- Error analysis of the optimal quantization algorithm for obstacle problems.
- Pricing Asset Scheduling Flexibility using Optimal Switching
- Numerical methods for backward stochastic differential equations: a survey
- Numerical algorithms for backward stochastic differential equations with 1-d Brownian motion: convergence and simulations
- Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
- Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
- Numerical method for reflected backward stochastic differential equations
- A convolution method for numerical solution of backward stochastic differential equations
- A First Order Scheme for Backward Doubly Stochastic Differential Equations
- Probabilistic methods for semilinear partial differential equations. Applications to finance
- Discretization of backward semilinear stochastic evolution equations
- A branching particle system approximation for a class of FBSDEs
- A forward scheme for backward SDEs
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