scientific article; zbMATH DE number 1069628
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- The steepest descent method for forward-backward SDEs
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- Weak approximation of second-order BSDEs
- Approximation scheme for solutions of backward stochastic differential equations via the representation theorem
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- A numerical scheme for backward doubly stochastic differential equations
- A numerical algorithm for a class of BSDEs via the branching process
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- Numerical stability analysis of the Euler scheme for BSDEs
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- A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
- A forward-backward stochastic algorithm for quasi-linear PDEs
- An approximation result and Monte Carlo simulation of the adapted solution of the one-dimensional backward stochastic differential equation
- Malliavin calculus for backward stochastic differential equations and application to numerical solutions
- Numerical simulation of quadratic BSDEs
- NUMERICAL SOLUTIONS FOR FORWARD BACKWARD DOUBLY STOCHASTIC DIFFERENTIAL EQUATIONS AND ZAKAI EQUATIONS
- Numerical approximation of singular forward-backward SDEs
- Euler time discretization of backward doubly SDEs and application to semilinear SPDEs
- Reducing variance in the numerical solution of BSDEs
- Least-squares Monte Carlo for backward SDEs
- Time discretization and Markovian iteration for coupled FBSDEs
- Numerical methods for forward backward stochastic differential equations
- Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers
- Pricing Asset Scheduling Flexibility using Optimal Switching
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- Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition
- A forward scheme for backward SDEs
- Solving backward stochastic differential equations using the cubature method: application to nonlinear pricing
- Discretization of backward semilinear stochastic evolution equations
- Multi-stage Euler-Maruyama methods for backward stochastic differential equations driven by continuous-time Markov chains
- Computation of conditional expectations with guarantees
- A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids
- Random walk approximation of BSDEs with Hölder continuous terminal condition
- A branching particle system approximation for a class of FBSDEs
- Strong stability preserving multistep schemes for forward backward stochastic differential equations
- Numerical methods for certain classes of Markovian backward stochastic differential equations and quasi-linear parabolic partial differential equations via Girsanov's theorem
- Discretization and machine learning approximation of BSDEs with a constraint on the gains-process
- Recent developments in machine learning methods for stochastic control and games
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- Higher-order interpolated lattice schemes for multidimensional option pricing problems
- Deep learning scheme for forward utilities using ergodic BSDEs
- A first order scheme for backward doubly stochastic differential equations
- Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
- An implicit numerical scheme for a class of backward doubly stochastic differential equations
- Iterative improvement of lower and upper bounds for backward SDEs
- A fully quantization-based scheme for FBSDEs
- On approximation of the BSDE with unknown volatility in forward equation.
- Stability of backward stochastic differential equations: the general Lipschitz case
- New Second-Order Schemes for Forward Backward Stochastic Differential Equations
- Richardson extrapolation of the Crank-Nicolson scheme for backward stochastic differential equations
- Explicit high order one-step methods for decoupled forward backward stochastic differential equations
- Stability of regression-based Monte Carlo methods for solving nonlinear PDEs
- Schwarz method for financial engineering
- Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
- Richardson extrapolation of the Euler scheme for backward stochastic differential equations
- ODE-Based Multistep Schemes for Backward Stochastic Differential Equations
- Differentiability of quadratic forward-backward SDEs with rough drift
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