Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs

DOI10.1214/14-AAP1056zbMath1342.65011arXiv1309.2865MaRDI QIDQ748315

Lukasz Szpruch, Gonçalo dos Reis, Arnaud Lionnet

Publication date: 20 October 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.2865

zbMATH Keywords

polynomial growthnumerical schemescalculus of variationstime discretizationFBSDEpath regularitymonotone driver

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (18)

Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth ⋮ Equilibrium Pricing Under Relative Performance Concerns ⋮ A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations ⋮ Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems ⋮ Existence, uniqueness and comparison theorem on unbounded solutions of scalar super-linear BSDEs ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks ⋮ Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations ⋮ The Skorokhod embedding problem for inhomogeneous diffusions ⋮ Explicit High Order One-Step Methods for Decoupled Forward Backward Stochastic Differential Equations ⋮ Approximation of BSDEs with super-linearly growing generators by Euler's polygonal line method: a simple proof of the existence ⋮ Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs ⋮ Deep Splitting Method for Parabolic PDEs ⋮ On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations ⋮ Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations ⋮ High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion ⋮ Numerical Stability Analysis of the Euler Scheme for BSDEs ⋮ Hybrid PDE solver for data-driven problems and modern branching

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Numerical simulation of quadratic BSDEs
• Optimal stochastic control, stochastic target problems, and backward SDE.
• Probabilistic representation of weak solutions of partial differential equations with polynomial growth coefficients
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients
• FBDEs with time delayed generators: \(L^{p}\)-solutions, differentiability, representation formulas and path regularity
• Global solutions of reaction-diffusion systems
• Differentiability of backward stochastic differential equations in Hilbert spaces with monotone generators
• Sobolev solution for semilinear PDE with obstacle under monotonicity condition
• Geometric theory of semilinear parabolic equations
• Path regularity for solutions of backward stochastic differential equations
• BSDEs with polynomial growth generators
• Path regularity and explicit convergence rate for BSDE with truncated quadratic growth
• Reducing variance in the numerical solution of BSDEs
• Second order discretization of backward SDEs and simulation with the cubature method
• Runge-Kutta schemes for backward stochastic differential equations
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• \(L^p\) solutions of backward stochastic differential equations.
• Strong and weak divergence in finite time of Euler's method for stochastic differential equations with non-globally Lipschitz continuous coefficients
• The Malliavin Calculus and Related Topics
• Backward Stochastic Differential Equations in Finance
• Estimating the error of numerical solutions of systems of reaction-diffusion equations
• An Introduction to Numerical Analysis
• Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing
• A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations
• Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients
• Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression

This page was built for publication: Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs