On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
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Cites work
- scientific article; zbMATH DE number 1069628 (Why is no real title available?)
- A numerical scheme for BSDEs
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Backward Stochastic Differential Equations in Finance
- Cubature on Wiener space
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
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- Donsker-type theorem for BSDEs
- Error analysis of the optimal quantization algorithm for obstacle problems.
- Error expansion for the discretization of backward stochastic differential equations
- Estimating multidimensional density functions for random variables in Wiener space
- Filtration stability of backward sde's
- Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
- Numerical method for backward stochastic differential equations
- On the Malliavin approach to Monte Carlo approximation of conditional expectations
- Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
- Stability in D of martingales and backward equations under discretization of filtration
- Stochastic calculus of variations in mathematical finance.
Cited in
(33)- 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
- A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo
- Product Markovian quantization of a diffusion process with applications to finance
- A probabilistic numerical method for fully nonlinear parabolic PDEs
- Cubature method to solve BSDEs: Error expansion and complexity control
- Importance sampling for backward SDEs
- Mean square rate of convergence for random walk approximation of forward-backward SDEs
- Random walk approximation of BSDEs with Hölder continuous terminal condition
- An overview on deep learning-based approximation methods for partial differential equations
- Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
- Differentiability in infinite dimension and the Malliavin calculus
- Second order discretization of backward SDEs and simulation with the cubature method
- Reducing variance in the numerical solution of BSDEs
- Least-squares Monte Carlo for backward SDEs
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- Numerical computation for backward doubly SDEs with random terminal time
- Euler time discretization of backward doubly SDEs and application to semilinear SPDEs
- Convergence of a Robust Deep FBSDE Method for Stochastic Control
- A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights
- Simulation of BSDEs by Wiener chaos expansion
- Stochastic grid bundling method for backward stochastic differential equations
- Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
- Numerical approximation of singular forward-backward SDEs
- Stability of regression-based Monte Carlo methods for solving nonlinear PDEs
- A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus
- Numerical methods for backward stochastic differential equations: a survey
- Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
- Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
- Stability of backward stochastic differential equations: the general Lipschitz case
- Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
- Deep splitting method for parabolic PDEs
- Probabilistic methods for semilinear partial differential equations. Applications to finance
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