A new numerical method for 1-D backward stochastic differential equations without using conditional expectations
DOI10.1515/ROSE-2020-2030zbMATH Open1461.60042OpenAlexW3012156883MaRDI QIDQ778246FDOQ778246
Authors: Aissa Sghir, Sokaina Hadiri 
Publication date: 2 July 2020
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/rose-2020-2030
Recommendations
- A linear numerical scheme for nonlinear BSDEs with uniformly continuous coefficients
- A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
- Numerical solutions of backward stochastic differential equations: a finite transposition method
- scientific article; zbMATH DE number 1069628
- A forward scheme for backward SDEs
Monte Carlo simulationbackward stochastic differential equationpartial differential equationdiscrete time approximationFeynman-Kac's formula
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Cites Work
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Continuous-time stochastic control and optimization with financial applications
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Conjugate convex functions in optimal stochastic control
- A numerical scheme for BSDEs
- Numerical method for backward stochastic differential equations
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- A General Stochastic Maximum Principle for Optimal Control Problems
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Backward Stochastic Differential Equations in Finance
- Adapted solution of a backward stochastic differential equation
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Stochastic differential equations. An introduction with applications.
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
- Numerical algorithms for backward stochastic differential equations with 1-d Brownian motion: convergence and simulations
- Numerical methods for forward-backward stochastic differential equations
- Stability in \(\mathbb D\) of martingales and backward equations under discretization of filtration
- Discretizing a backward stochastic differential equation
- Error analysis of the optimal quantization algorithm for obstacle problems.
- Filtration stability of backward sde's
Cited In (4)
- A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
- Numerical method for backward stochastic differential equations
- A linear numerical scheme for nonlinear BSDEs with uniformly continuous coefficients
- Numerical methods for backward stochastic differential equations: a survey
This page was built for publication: A new numerical method for 1-D backward stochastic differential equations without using conditional expectations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q778246)
