Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
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General nonlinear regression (62J02) Stochastic calculus of variations and the Malliavin calculus (60H07) Dynamic programming in optimal control and differential games (49L20) Numerical solutions to stochastic differential and integral equations (65C30) Sampled-data control/observation systems (93C57) Optimal stochastic control (93E20) Least squares and related methods for stochastic control systems (93E24)
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Cites work
- scientific article; zbMATH DE number 692341 (Why is no real title available?)
- A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations
- A distribution-free theory of nonparametric regression
- A probabilistic numerical method for fully nonlinear parabolic PDEs
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- Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
- BSDEs and applications
- Continuous exponential martingales and BMO
- Financial modeling. A backward stochastic differential equations perspective
- Importance sampling for backward SDEs
- Introduction to rare event simulation.
- Least-squares Monte Carlo for backward SDEs
- Linear forward-backward stochastic differential equations
- Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
- Malliavin calculus for backward stochastic differential equations and application to numerical solutions
- Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
- On Lyapunov inequalities and subsolutions for efficient importance sampling
- On some non asymptotic bounds for the Euler scheme
- Preliminary control variates to improve empirical regression methods
- Rare Event Simulation using Monte Carlo Methods
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- Reducing variance in the numerical solution of BSDEs
- Representation theorems for backward stochastic differential equations
- Robust adaptive importance sampling for normal random vectors
- Runge-Kutta schemes for backward stochastic differential equations
- Simulation and the Monte Carlo Method
- Simulation of BSDEs by Wiener chaos expansion
- Solving BSDE with Adaptive Control Variate
- Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
- Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
- Unconstrained recursive importance sampling
- Variance Reduction for Simulated Diffusions
- Weak solutions for SPDE's and backward doubly stochastic differential equations
Cited in
(15)- A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems
- A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
- Three ways to solve partial differential equations with neural networks — A review
- Importance sampling for backward SDEs
- Adaptive importance sampling with forward-backward stochastic differential equations
- Distribution-free robust linear regression
- Novel multi-step predictor-corrector schemes for backward stochastic differential equations
- Least-squares Monte Carlo for backward SDEs
- Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations
- Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
- Numerical methods for backward stochastic differential equations: a survey
- Splitting scheme for backward doubly stochastic differential equations
- Stability of backward stochastic differential equations: the general Lipschitz case
- Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
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