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 (97)
- 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
- 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
- Simulation of BSDEs with jumps by Wiener chaos expansion
- A high-order numerical method for BSPDEs with applications to mathematical finance
- Malliavin calculus for backward stochastic differential equations and application to numerical solutions
- Error expansion for the discretization of backward stochastic differential equations
- A primal-dual algorithm for BSDEs
- Approximation scheme for solutions of backward stochastic differential equations via the representation theorem
- A Monte Carlo method for backward stochastic differential equations with Hermite martingales
- 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
- On approximation of BSDE and multi-step MLE-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
- Discretization of backward stochastic Volterra integral equations
- Linear multistep schemes for BSDEs
- A Fourier cosine method for an efficient computation of solutions to BSDEs
- Numerical method for backward stochastic differential equations
- On the robustness of backward stochastic differential equations.
- Euler time discretization of backward doubly SDEs and application to semilinear SPDEs
- Numerical stability analysis of the Euler scheme for BSDEs
- On the wavelet-based SWIFT method for backward stochastic differential equations
- Second-order schemes for solving decoupled forward backward stochastic differential equations
- Weak approximation of second-order BSDEs
- Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements
- Runge-Kutta schemes for backward stochastic differential equations
- Simulation of BSDEs by Wiener chaos expansion
- On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
- Stochastic grid bundling method for 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
- An approximation result and Monte Carlo simulation of the adapted solution of the one-dimensional backward stochastic differential equation
- Numerical solutions of backward stochastic differential equations: a finite transposition method
- A regression-based numerical scheme for backward stochastic differential equations
- Numerical approximation of general Lipschitz BSDEs with branching processes
- On the homotopy analysis method for backward/forward-backward stochastic differential equations
- Time discretization and Markovian iteration for coupled FBSDEs
- A new numerical method for 1-D backward stochastic differential equations without using conditional expectations
- A numerical algorithm for a class of BSDEs via the branching process
- 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.
- A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
- Pricing Asset Scheduling Flexibility using Optimal Switching
- Numerical approximation of BSDEs using local polynomial drivers and branching processes
- Numerical methods for backward stochastic differential equations: a survey
- Numerical algorithms for backward stochastic differential equations with 1-d Brownian motion: convergence and simulations
- Some analytic approximations for backward stochastic differential equations
- 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
- Numerical methods for forward backward stochastic differential equations
- Probabilistic methods for semilinear partial differential equations. Applications to finance
- A fully discrete explicit multistep scheme for solving coupled forward backward stochastic differential equations
- A forward scheme for backward SDEs
- A fully quantization-based scheme for FBSDEs
- Richardson extrapolation of the Crank-Nicolson scheme for backward stochastic differential equations
- Iterative improvement of lower and upper bounds for backward SDEs
- A first order scheme for backward doubly stochastic differential equations
- Random walk approximation of BSDEs with Hölder continuous terminal condition
- Strong stability preserving multistep schemes for forward backward stochastic differential equations
- A parallel algorithm for solving BSDEs
- Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing
- Schwarz method for financial engineering
- Computation of conditional expectations with guarantees
- Discretization and machine learning approximation of BSDEs with a constraint on the gains-process
- Higher-order interpolated lattice schemes for multidimensional option pricing problems
- Recent developments in machine learning methods for stochastic control and games
- Differentiability of quadratic forward-backward SDEs with rough drift
- New Second-Order Schemes for Forward Backward Stochastic Differential Equations
- ODE-Based Multistep Schemes for Backward Stochastic Differential Equations
- An implicit numerical scheme for a class of backward doubly stochastic differential equations
- On approximation of the BSDE with unknown volatility in forward equation.
- Solving backward stochastic differential equations using the cubature method: application to nonlinear pricing
- A numerical method for solving high-dimensional backward stochastic difference equations using sparse grids
- Stability of regression-based Monte Carlo methods for solving nonlinear PDEs
- 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
- Numerical methods for certain classes of Markovian backward stochastic differential equations and quasi-linear parabolic partial differential equations via Girsanov's theorem
- Explicit high order one-step methods for decoupled forward backward stochastic differential equations
- Discretization of backward semilinear stochastic evolution equations
- A branching particle system approximation for a class of FBSDEs
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