On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
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Publication:981018
DOI10.1016/J.SPA.2010.03.015zbMATH Open1193.65005OpenAlexW2022684404MaRDI QIDQ981018FDOQ981018
Authors: Dan Crisan, Konstantinos Manolarakis, Nizar Touzi 
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.2010.03.015
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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
- An overview on deep learning-based approximation methods for partial differential equations
- Random walk approximation of BSDEs with Hölder continuous terminal condition
- Differentiability in infinite dimension and the Malliavin calculus
- Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
- 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
- Stability of backward stochastic differential equations: the general Lipschitz case
- Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
- 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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