Numerical methods for backward stochastic differential equations: a survey (Q6158181)

scientific article; zbMATH DE number 7690293

Language	Label	Description	Also known as
default for all languages	No label defined
English	Numerical methods for backward stochastic differential equations: a survey	scientific article; zbMATH DE number 7690293

Statements

instance of

scholarly article

0 references

title

Numerical methods for backward stochastic differential equations: a survey (English)

0 references

0 references

0 references

0 references

0 references

0 references

31 May 2023

0 references

full work available at URL

https://arxiv.org/abs/2101.08936

0 references

https://projecteuclid.org/journals/probability-surveys/volume-20/issue-none/Numerical-methods-for-backward-stochastic-differential-equations-A-survey/10.1214/23-PS18.full

0 references

zbMATH Keywords

semilinear PDEs

0 references

least-squares regression

0 references

Picard iteration

0 references

Malliavin calculus

0 references

Monte Carlo methods

0 references

deep learning

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Discrete-time approximation of decoupled forward-backward stochastic differential equations driven by pure jump Lévy processes

0 references

Mean field games and applications: numerical aspects

0 references

Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method

0 references

Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements

0 references

Reducing variance in the numerical solution of BSDEs

0 references

Convergence of a Robust Deep FBSDE Method for Stochastic Control

0 references

Cemracs 2017: numerical probabilistic approach to MFG

0 references

Filtration stability of backward sde's

0 references

Central Clearing Valuation Adjustment

0 references

Error analysis of the optimal quantization algorithm for obstacle problems.

0 references

A quantization algorithm for solving multidimensional discrete-time optimal stopping problems

0 references

A stochastic quantization method for nonlinear problems.

0 references

Lévy Backward SDE Filter for Jump Diffusion Processes and Its Applications in Material Sciences

0 references

ADJOINT FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY JUMP DIFFUSION PROCESSES AND ITS APPLICATION TO NONLINEAR FILTERING PROBLEMS

0 references

Data informed solution estimation for forward-backward stochastic differential equations

0 references

Deep Splitting Method for Parabolic PDEs

0 references

Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations

0 references

An overview on deep learning-based approximation methods for partial differential equations

0 references

A forward scheme for backward SDEs

0 references

Importance Sampling for Backward SDEs

0 references

Discretization of backward stochastic Volterra integral equations

0 references

A PRIMAL–DUAL ALGORITHM FOR BSDES

0 references

Least-Squares Monte Carlo for Backward SDEs

0 references

A Posteriori Estimates for Backward SDEs

0 references

Time discretization and Markovian iteration for coupled FBSDEs

0 references

A Numerical Scheme for the Quantile Hedging Problem

0 references

Q4199298

0 references

Analysis of the Generalization Error: Empirical Risk Minimization over Deep Artificial Neural Networks Overcomes the Curse of Dimensionality in the Numerical Approximation of Black--Scholes Partial Differential Equations

0 references

Arbitrage‐free XVA

0 references

Conjugate convex functions in optimal stochastic control

0 references

Approximation of BSDE with non Lipschitz coefficient

0 references

Efficient Computation of Various Valuation Adjustments Under Local Lévy Models

0 references

Discrete-time approximation for continuously and discretely reflected BSDEs

0 references

Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view

0 references

On the Malliavin approach to Monte Carlo approximation of conditional expectations

0 references

Discrete-time approximation of decoupled Forward-Backward SDE with jumps

0 references

Regularity of BSDEs with a convex constraint on the gains-process

0 references

Q3656686

0 references

Numerical approximation of BSDEs using local polynomial drivers and branching processes

0 references

Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

0 references

Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods

0 references

Donsker-type theorem for BSDEs

0 references

On the robustness of backward stochastic differential equations.

0 references

Donsker-type theorem for BSDEs: rate of convergence

0 references

Simulation of BSDEs by Wiener chaos expansion

0 references

A fully quantization-based scheme for FBSDEs

0 references

Convergence analysis of machine learning algorithms for the numerical solution of mean field control and games. II: The finite horizon case

0 references

Propagation of chaos: a review of models, methods and applications. II: Applications

0 references

Linear Multistep Schemes for BSDEs

0 references

Runge-Kutta schemes for backward stochastic differential equations

0 references

Numerical method for FBSDEs of McKean-Vlasov type

0 references

Discrete-time approximation of multidimensional BSDEs with oblique reflections

0 references

Numerical Stability Analysis of the Euler Scheme for BSDEs

0 references

Numerical simulation of quadratic BSDEs

0 references

Cubature method to solve BSDEs: Error expansion and complexity control

0 references

Numerical approximation of singular forward-backward SDEs

0 references

On the wavelet-based SWIFT method for backward stochastic differential equations

0 references

Stochastic grid bundling method for backward stochastic differential equations

0 references

Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs

0 references

BS$\Delta$Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness

0 references

Q4356591

0 references

Stability in $\mathbb D$ of martingales and backward equations under discretization of filtration

0 references

Q2725614

0 references

COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA

0 references

Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives

0 references

Counterparty risk and funding: immersion and beyond

0 references

Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations

0 references

Probabilistic methods for semilinear partial differential equations. Applications to finance

0 references

Solving Backward Stochastic Differential Equations Using the Cubature Method: Application to Nonlinear Pricing

0 references

Second order discretization of backward SDEs and simulation with the cubature method

0 references

On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights

0 references

Hedging contingent claims with constrained portfolios

0 references

Backward stochastic differential equations with reflection and Dynkin games

0 references

Backward stochastic differential equations with constraints on the gains-process

0 references

The steepest descent method for forward-backward SDEs

0 references

A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations

0 references

A forward-backward stochastic algorithm for quasi-linear PDEs

0 references

An interpolated stochastic algorithm for quasi-linear PDEs

0 references

Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps

0 references

Numerical methods for forward-backward stochastic differential equations

0 references

Numerical approximation of doubly reflected BSDEs with jumps and RCLL obstacles

0 references

Reflected scheme for doubly reflected BSDEs with jumps and RCLL obstacles

0 references

The forward-backward stochastic heat equation: numerical analysis and simulation

0 references

Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations

0 references

Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning

0 references

On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations

0 references

Multilevel Picard iterations for solving smooth semilinear parabolic heat equations

0 references

BSDEs and risk-sensitive control, zero-sum and nonzero-sum game problems of stochastic functional differential equations.

0 references

Q3613981

0 references

Reflected solutions of backward SDE's, and related obstacle problems for PDE's

0 references

Q4356589

0 references

Backward Stochastic Differential Equations in Finance

0 references

A probabilistic numerical method for fully nonlinear parabolic PDEs

0 references

Short-time asymptotic expansions of semilinear evolution equations

0 references

Product Markovian quantization of a diffusion process with applications to finance

0 references

Applications of Malliavin calculus to Monte-Carlo methods in finance. II

0 references

Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps

0 references

An Explicit Second-Order Numerical Scheme to Solve Decoupled Forward Backward Stochastic Equations

0 references

Multistep schemes for forward backward stochastic differential equations with jumps

0 references

Efficient spectral sparse grid approximations for solving multi-dimensional forward backward sdes

0 references

A polynomial scheme of asymptotic expansion for backward SDEs and option pricing

0 references

An FBSDE approach to American option pricing with an interacting particle method

0 references

ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME

0 references

Perturbative expansion technique for non-linear FBSDEs with interacting particle method

0 references

Asymptotic expansion for forward-backward SDEs with jumps

0 references

Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions

0 references

Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs

0 references

Q3192949

0 references

A Fourier transform method for solving backward stochastic differential equations

0 references

Generalized fractional smoothness and $L_p$-variation of BSDEs with non-Lipschitz terminal condition

0 references

Simulation of BSDEs with jumps by Wiener chaos expansion

0 references

Mean square rate of convergence for random walk approximation of forward-backward SDEs

0 references

Random walk approximation of BSDEs with Hölder continuous terminal condition

0 references

Numerical resolution of McKean-Vlasov FBSDEs using neural networks

0 references

Approximation Error Analysis of Some Deep Backward Schemes for Nonlinear PDEs

0 references

Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework

0 references

Error expansion for the discretization of backward stochastic differential equations

0 references

Solving BSDE with Adaptive Control Variate

0 references

A regression-based Monte Carlo method to solve backward stochastic differential equations

0 references

Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs

0 references

Sequential Control Variates for Functionals of Markov Processes

0 references

$\mathbf L_2$-time regularity of BSDEs with irregular terminal functions

0 references

Analytical Approximations of BSDEs with Nonsmooth Driver

0 references

Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions

0 references

Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression

0 references

Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations

0 references

An Efficient Gradient Projection Method for Stochastic Optimal Control Problems

0 references

One order numerical scheme for forward-backward stochastic differential equations

0 references

Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations

0 references

Uniform error estimates for artificial neural network approximations for heat equations

0 references

A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations

0 references

A monotone scheme for high-dimensional fully nonlinear PDEs

0 references

Reflected BSDE's with discontinuous barrier and application

0 references

On the Starting and Stopping Problem: Application in Reversible Investments

0 references

Reflected BSDEs and mixed game problem

0 references

Approximations for adapted M-solutions of type-II backward stochastic Volterra integral equations

0 references

Solving high-dimensional partial differential equations using deep learning

0 references

Convergence of the deep BSDE method for coupled FBSDEs

0 references

A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo

0 references

A dual algorithm for stochastic control problems: applications to uncertain volatility models and CVA

0 references

Branching diffusion representation of semilinear PDEs and Monte Carlo approximation

0 references

A numerical algorithm for a class of BSDEs via the branching process

0 references

Forward-backward systems for expected utility maximization

0 references

An efficient numerical method for forward-backward stochastic differential equations driven by $G$-Brownian motion

0 references

Utility maximization in incomplete markets

0 references

Malliavin calculus for backward stochastic differential equations and application to numerical solutions

0 references

Multi-dimensional BSDE with oblique reflection and optimal switching

0 references

Efficient numerical Fourier methods for coupled forward-backward SDEs

0 references

Deep backward schemes for high-dimensional nonlinear PDEs

0 references

Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities

0 references

Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations

0 references

A proof that rectified deep neural networks overcome the curse of dimensionality in the numerical approximation of semilinear heat equations

0 references

Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations

0 references

On the speed of convergence of Picard iterations of backward stochastic differential equations

0 references

A convolution method for numerical solution of backward stochastic differential equations

0 references

Path regularity and explicit convergence rate for BSDE with truncated quadratic growth

0 references

Results on Numerics for FBSDE with Drivers of Quadratic Growth

0 references

SOLVABILITY AND NUMERICAL SIMULATION OF BSDEs RELATED TO BSPDEs WITH APPLICATIONS TO UTILITY MAXIMIZATION

0 references

Discrete approximations of generalized RBSDE with random terminal time

0 references

Proof that deep artificial neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with constant diffusion and nonlinear drift coefficients

0 references

Convergence of the deep BSDE method for FBSDEs with non-Lipschitz coefficients

0 references

Multistep schemes for solving backward stochastic differential equations on GPU

0 references

A Multistep Scheme to Solve Backward Stochastic Differential Equations for Option Pricing on GPUs

0 references

A decomposition approach for the discrete-time approximation of FBSDEs with a jump

0 references

Discretization and machine learning approximation of BSDEs with a constraint on the gains-process

0 references

Discretisation of FBSDEs driven by càdlàg martingales

0 references

Backward stochastic differential equations and partial differential equations with quadratic growth.

0 references

Probabilistic High Order Numerical Schemes for Fully Nonlinear Parabolic PDEs

0 references

On approximation of BSDE and multi-step MLE-processes

0 references

On approximation of the backward stochastic differential equation

0 references

A parallel algorithm for solving BSDEs

0 references

Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations

0 references

Q4357508

0 references

A High-Order Numerical Method for BSPDEs with Applications to Mathematical Finance

0 references

Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs

0 references

$L^p$-error estimates for numerical schemes for solving certain kinds of backward stochastic differential equations

0 references

Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs

0 references

Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth

0 references

A Fully Discrete Explicit Multistep Scheme for Solving Coupled Forward Backward Stochastic Differential Equations

0 references

Explicit multistep stochastic characteristic approximation methods for forward backward stochastic differential equations

0 references

DeepXDE: A Deep Learning Library for Solving Differential Equations

0 references

Numerical method for backward stochastic differential equations

0 references

Solving forward-backward stochastic differential equations explicitly -- a four step scheme

0 references

On Numerical Approximations of Forward-Backward Stochastic Differential Equations

0 references

Representation theorems for backward stochastic differential equations

0 references

Representations and regularities for solutions to BSDEs with reflections

0 references

Convergence of BS$\operatorname{\Delta}$Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver

0 references

Numerical Method for Reflected Backward Stochastic Differential Equations

0 references

Application of brownian motion to the equation of kolmogorov-petrovskii-piskunov

0 references

Recursive marginal quantization of higher-order schemes

0 references

Convergence of solutions of discrete reflected backward SDE's and simulations

0 references

Numerical Algorithms for Forward-Backward Stochastic Differential Equations

0 references

Q4826106

0 references

Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations

0 references

Physics-informed neural networks: a deep learning framework for solving forward and inverse problems involving nonlinear partial differential equations

0 references

A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus

0 references

Q3150294

0 references

A fully nonlinear Feynman-Kac formula with derivatives of arbitrary orders

0 references

Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing

0 references

Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space

0 references

Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering

0 references

An efficient third-order scheme for BSDEs based on nonequidistant difference scheme

0 references

Stability results for martingale representations: The general case

0 references

Adapted solution of a backward stochastic differential equation

0 references

Stochastic differential equations, backward SDEs, partial differential equations

0 references

A Monte Carlo method for backward stochastic differential equations with Hermite martingales

0 references

Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians

0 references

A General Stochastic Maximum Principle for Optimal Control Problems

0 references

Backward stochastic differential equations and applications to optimal control

0 references

Q3096569

0 references

Numerical algorithms for backward stochastic differential equations with 1-d Brownian motion: convergence and simulations

0 references

Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation

0 references

Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems

0 references

Numerical simulation of BSDEs with drivers of quadratic growth

0 references

Pricing via utility maximization and entropy.

0 references

Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance

0 references

A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs

0 references

Q3158932

0 references

A new numerical method for 1-D backward stochastic differential equations without using conditional expectations

0 references

DGM: a deep learning algorithm for solving partial differential equations

0 references

Branching Diffusion Processes

0 references

Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection

0 references

An explicit second-order numerical scheme for mean-field forward backward stochastic differential equations

0 references

Explicit theta-Schemes for Mean-Field Backward Stochastic Differential Equations

0 references

A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver

0 references

An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach

0 references

Deferred Correction Methods for Forward Backward Stochastic Differential Equations

0 references

Stability analysis of general multistep methods for Markovian backward stochastic differential equations

0 references

Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations

0 references

A multi-step scheme based on cubic spline for solving backward stochastic differential equations

0 references

High-order combined multi-step scheme for solving forward backward stochastic differential equations

0 references

Stability of solutions of BSDEs with random terminal time

0 references

A parallel four step domain decomposition scheme for coupled forward-backward stochastic differential equations

0 references

Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions

0 references

Sinc-$\theta$ Schemes for Backward Stochastic Differential Equations

0 references

Nesting Monte Carlo for high-dimensional non-linear PDEs

0 references

On the branching process for Brownian particles with an absorbing boundary

0 references

Q3997540

0 references

Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers

0 references

Convergence of Recent Multistep Schemes for a Forward-Backward Stochastic Differential Equation

0 references

Explicit deferred correction methods for second-order forward backward stochastic differential equations

0 references

A Unified Probabilistic Discretization Scheme for FBSDEs: Stability, Consistency, and Convergence Analysis

0 references

Numerical aspects of shot noise representation of infinitely divisible laws and related processes

0 references

A Sparse-Grid Method for Multi-Dimensional Backward Stochastic Differential Equations

0 references

A numerical scheme for BSDEs

0 references

Backward Stochastic Differential Equations

0 references

Solutions of BSDEs with a kind of non-Lipschitz coefficients driven by $G$-Brownian motion

0 references

Discretizing a backward stochastic differential equation

0 references

A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations

0 references

New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations

0 references

Second-order schemes for solving decoupled forward backward stochastic differential equations

0 references

Error estimates of the Crank-Nicolson scheme for solving backward stochastic differential equations

0 references

A generalized $\theta$-scheme for solving backward stochastic differential equations

0 references

Error estimates of the $\theta$-scheme for backward stochastic differential equations

0 references

A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations

0 references

A Numerical Method and its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations

0 references

A Multistep Scheme for Decoupled Forward-Backward Stochastic Differential Equations

0 references

High Order Numerical Schemes for Second-Order FBSDEs with Applications to Stochastic Optimal Control

0 references

On the homotopy analysis method for backward/forward-backward stochastic differential equations

0 references

Identifiers

zbMATH Open document ID

1515.65023

0 references

arXiv ID

2101.08936

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:6158181