Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
DOI10.1016/J.SPA.2016.07.011zbMATH Open1361.93067OpenAlexW2512458358MaRDI QIDQ516010FDOQ516010
Publication date: 20 March 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://kclpure.kcl.ac.uk/portal/en/publications/adaptive-importance-sampling-in-leastsquares-monte-carlo-algorithms-for-backward-stochastic-differential-equations(4a66140a-33da-4da5-b762-a43f3be0ce3c).html
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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Cited In (12)
- Three ways to solve partial differential equations with neural networks — A review
- A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
- Novel multi-step predictor-corrector schemes for backward stochastic differential equations
- Distribution-free robust linear regression
- 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
- A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems
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