Pages that link to "Item:Q2448692"

The following pages link to Second order discretization of backward SDEs and simulation with the cubature method (Q2448692):

Displaying 32 items.

• Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction (Q670737) (← links)
• Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs (Q748315) (← links)
• Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis (Q893337) (← links)
• Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth (Q1617135) (← links)
• Markov cubature rules for polynomial processes (Q1986009) (← links)
• Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions (Q1999911) (← links)
• High-order combined multi-step scheme for solving forward backward stochastic differential equations (Q2028543) (← links)
• An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion (Q2029145) (← links)
• Numerical approximation of singular forward-backward SDEs (Q2168288) (← links)
• Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (Q2201474) (← links)
• A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus (Q2293285) (← links)
• On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations (Q2316188) (← links)
• Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations (Q2327815) (← links)
• A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations (Q2342392) (← links)
• Convergence error estimates of the Crank-Nicolson scheme for solving decoupled FBSDEs (Q2361013) (← links)
• Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations (Q2694433) (← links)
• An overview on deep learning-based approximation methods for partial differential equations (Q2697278) (← links)
• Recent advances in various fields of numerical probability (Q2786538) (← links)
• Deep Splitting Method for Parabolic PDEs (Q4958922) (← links)
• Cubature method to solve BSDEs: Error expansion and complexity control (Q4960079) (← links)
• A New Second-Order One-Step Scheme for Solving Decoupled FBSDES and Optimal Error Estimates (Q4986603) (← links)
• Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme (Q5014247) (← links)
• Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning (Q5019943) (← links)
• Short Communication: A Gaussian Kusuoka Approximation without Solving Random ODEs (Q5029930) (← links)
• Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing (Q5241903) (← links)
• Numerical Stability Analysis of the Euler Scheme for BSDEs (Q5253605) (← links)
• A First Order Scheme for Backward Doubly Stochastic Differential Equations (Q5741185) (← links)
• Cubature Method for Stochastic Volterra Integral Equations (Q6070668) (← links)
• Numerical methods for backward stochastic differential equations: a survey (Q6158181) (← links)
• Stability of backward stochastic differential equations: the general Lipschitz case (Q6165206) (← links)
• A gradient method for high-dimensional BSDEs (Q6554575) (← links)
• Discrete-time approximation for backward stochastic differential equations driven by \(G\)-Brownian motion (Q6665576) (← links)