L₂-time regularity of BSDEs with irregular terminal functions
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Publication:981015
DOI10.1016/J.SPA.2010.03.003zbMATH Open1195.60079OpenAlexW2038078026MaRDI QIDQ981015FDOQ981015
Authors: Emmanuel Gobet, A. Makhlouf 
Publication date: 8 July 2010
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2010.03.003
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Cited In (26)
- Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
- On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
- Numerical simulation of quadratic BSDEs
- Decoupling on the Wiener space, related Besov spaces, and applications to BSDEs
- Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition
- Numerical simulation of BSDEs with drivers of quadratic growth
- 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
- Asymptotic approach for backward stochastic differential equation with singular terminal condition
- A correction note to ``Discrete time hedging errors for options with irregular payoffs
- \( L^2\)-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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