Cubature method to solve BSDEs: Error expansion and complexity control
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Publication:4960079
Cites work
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 140601 (Why is no real title available?)
- A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations
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- Cubature methods and applications
- Cubature on Wiener space
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Donsker-type theorem for BSDEs
- Efficient and Practical Implementations of Cubature on Wiener Space
- Error expansion for the discretization of backward stochastic differential equations
- Expansion of the global error for numerical schemes solving stochastic differential equations
- High order recombination and an application to cubature on Wiener space
- Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
- Linear multistep schemes for BSDEs
- Minimal Entropy Approximations and Optimal Algorithms
- Numerical method for FBSDEs of McKean-Vlasov type
- Numerical simulation of quadratic BSDEs
- Numerical stability analysis of the Euler scheme for BSDEs
- On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
- Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems
- Runge-Kutta schemes for backward stochastic differential equations
- Second order discretization of backward SDEs and simulation with the cubature method
- Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations
- Simulation of BSDEs by Wiener chaos expansion
- Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
- Sparse grids
- Time discretization and Markovian iteration for coupled FBSDEs
Cited in
(10)- Mean square rate of convergence for random walk approximation of forward-backward SDEs
- An overview on deep learning-based approximation methods for partial differential equations
- A gradient method for high-dimensional BSDEs
- Random walk approximation of BSDEs with Hölder continuous terminal condition
- Product Markovian quantization of a diffusion process with applications to finance
- Numerical methods for backward stochastic differential equations: a survey
- Richardson extrapolation of the Crank-Nicolson scheme for backward stochastic differential equations
- Numerical approximation of singular forward-backward SDEs
- Cubature methods to solve BSDEs: Error expansion and complexity control
- Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
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