Solving BSDE with Adaptive Control Variate
From MaRDI portal
Recommendations
- An adapted solution of a class of BSDE
- A BSDE approach to stochastic linear quadratic control problem
- Control variate method for deep BSDE solver using weak approximation
- scientific article; zbMATH DE number 1066316
- Adapted solutions of generalized BSDE with stochastic monotone coefficients
- BSDEs with Singular Terminal Condition and a Control Problem with Constraints
- Robust Control Problems of BSDEs Coupled with Value Functions
- Adaptive Control Variates for Finite-Horizon Simulation
- BSDE representations for optimal switching problems with controlled volatility
- Stochastic control and BSDEs with quadratic growth
Cited in
(35)- An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach
- Perturbative expansion technique for non-linear FBSDEs with interacting particle method
- Control variate selection for Monte Carlo integration
- Multilevel Picard iterations for solving smooth semilinear parabolic heat equations
- A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems
- Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo
- Multistep schemes for solving backward stochastic differential equations on GPU
- On the speed of convergence of Picard iterations of backward stochastic differential equations
- Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
- Pricing and hedging in incomplete markets with model uncertainty
- On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- Reducing variance in the numerical solution of BSDEs
- A numerical algorithm for a class of BSDEs via the branching process
- Simulation of BSDEs by Wiener chaos expansion
- Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
- An overview on deep learning-based approximation methods for partial differential equations
- Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions
- Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
- Least-squares Monte Carlo for backward SDEs
- A parallel algorithm for solving BSDEs
- Deep splitting method for parabolic PDEs
- A polynomial scheme of asymptotic expansion for backward SDEs and option pricing
- Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
- Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
- Monte Carlo integration with a growing number of control variates
- A Fourier cosine method for an efficient computation of solutions to BSDEs
- Convergence of a Robust Deep FBSDE Method for Stochastic Control
- Numerical methods for backward stochastic differential equations: a survey
- Stability of backward stochastic differential equations: the general Lipschitz case
- Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations
- Exponentially accurate spectral Monte Carlo method for linear PDEs and their error estimates
- An entropy penalized approach for stochastic control problems
- A backward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations
- \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
This page was built for publication: Solving BSDE with Adaptive Control Variate
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3078556)