L₂-time regularity of BSDEs with irregular terminal functions
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\(\mathbf L 2\)-time regularity of BSDEs with irregular terminal functions
\(\mathbf L 2\)-time regularity of BSDEs with irregular terminal functions
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Cites work
- scientific article; zbMATH DE number 3664138 (Why is no real title available?)
- scientific article; zbMATH DE number 16041 (Why is no real title available?)
- scientific article; zbMATH DE number 140601 (Why is no real title available?)
- scientific article; zbMATH DE number 3233089 (Why is no real title available?)
- A numerical scheme for BSDEs
- Backward Stochastic Differential Equations in Finance
- Discrete time hedging errors for options with irregular payoffs
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Error analysis of the optimal quantization algorithm for obstacle problems.
- Interpolation and approximation in \(L_{2}(\gamma )\)
- On approximation of a class of stochastic integrals and interpolation
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- Representation theorems for backward stochastic differential equations
- Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
- Solving BSDE with Adaptive Control Variate
- Weak existence and uniqueness for forward-backward SDEs
- \(L^p\) solutions of backward stochastic differential equations.
Cited in
(26)- Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
- Numerical simulation of quadratic BSDEs
- On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
- Generalized fractional smoothness and L_p-variation of BSDEs with non-Lipschitz terminal condition
- Numerical simulation of BSDEs with drivers of quadratic growth
- Decoupling on the Wiener space, related Besov spaces, and applications to BSDEs
- A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility
- A primal-dual algorithm for BSDEs
- \(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions
- Path regularity for solutions of backward stochastic differential equations
- Least-squares Monte Carlo for backward SDEs
- Continuity and Gaussian two-sided bounds of the density functions of the solutions to path-dependent stochastic differential equations via perturbation
- Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
- Differentiability of quadratic forward-backward SDEs with rough drift
- Runge-Kutta schemes for backward stochastic differential equations
- Simulation of BSDEs by Wiener chaos expansion
- A correction note to ``Discrete time hedging errors for options with irregular payoffs
- Asymptotic approach for backward stochastic differential equation with singular terminal condition
- \( L^2\)-regularity result for solutions of backward doubly stochastic differential equations
- Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
- Numerical methods for backward stochastic differential equations: a survey
- Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
- Stability of backward stochastic differential equations: the general Lipschitz case
- A backward doubly stochastic differential equation approach for nonlinear filtering problems
- Almost sure optimal hedging strategy
- The tracking error rate of the delta-gamma hedging strategy
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