Empirical regression method for backward doubly stochastic differential equations
backward doubly stochastic differential equationsdiscrete dynamic programming equationsempirical regression schemestochastic partial differential equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Nonparametric regression and quantile regression (62G08) Numerical solutions to stochastic differential and integral equations (65C30) Dynamic programming (90C39)
- A numerical scheme for backward doubly stochastic differential equations
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
- A regression-based numerical scheme for backward stochastic differential equations
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- A numerical scheme for backward doubly stochastic differential equations
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Accelerated finite difference schemes for linear stochastic partial differential equations in the whole space
- Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
- Backward doubly stochastic differential equations and systems of quasilinear SPDEs
- Finite element methods for parabolic stochastic PDE's
- Fully nonlinear stochastic partial differential equations: non-smooth equations and applications
- scientific article; zbMATH DE number 1302005 (Why is no real title available?)
- Implicit scheme for quasi-linear parabolic partial differential equations perturbed by space-time white noise
- Lattice approximations for stochastic quasi-linear parabolic partial differential equations driven by space-time white noise. II
- Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
- Nonlinear Filtering Revisited: A Spectral Approach
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- Stochastic PDEs driven by nonlinear noise and backward doubly SDEs
- Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
- Taylor expansions of solutions of stochastic partial differential equations with additive noise
- Weak solutions for SPDE's and backward doubly stochastic differential equations
- An implicit numerical scheme for a class of backward doubly stochastic differential equations
- Probabilistic interpretation for solutions of fully nonlinear stochastic pdes
- Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
- Numerical computation for backward doubly SDEs with random terminal time
- A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations
- Stochastic partial differential equations with singular terminal condition
- L^2-regularity result for solutions of backward doubly stochastic differential equations
- Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- Multilevel Picard iterations for parabolic stochastic partial differential equations
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
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