Pages that link to "Item:Q2485757"
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The following pages link to Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (Q2485757):
Displaying 50 items.
- Numerical simulation of quadratic BSDEs (Q259576) (← links)
- \(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions (Q265284) (← links)
- Simulation of BSDEs with jumps by Wiener chaos expansion (Q271886) (← links)
- Numerical computation for backward doubly SDEs with random terminal time (Q308407) (← links)
- A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations (Q326804) (← links)
- Euler time discretization of backward doubly SDEs and application to semilinear SPDEs (Q338206) (← links)
- BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness (Q358147) (← links)
- Stochastic differential utility as the continuous-time limit of recursive utility (Q402100) (← links)
- Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585) (← links)
- Numerical schemes for multivalued backward stochastic differential systems (Q424108) (← links)
- Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition (Q424522) (← links)
- Discrete-time approximation of multidimensional BSDEs with oblique reflections (Q433900) (← links)
- Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition (Q444352) (← links)
- A convolution method for numerical solution of backward stochastic differential equations (Q518855) (← links)
- Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations (Q523374) (← links)
- FBDEs with time delayed generators: \(L^{p}\)-solutions, differentiability, representation formulas and path regularity (Q554465) (← links)
- Strong approximations of BSDEs in a domain (Q605887) (← links)
- A probabilistic numerical method for fully nonlinear parabolic PDEs (Q640058) (← links)
- Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers (Q654139) (← links)
- Numerical simulation of BSDEs with drivers of quadratic growth (Q655587) (← links)
- Malliavin calculus for backward stochastic differential equations and application to numerical solutions (Q657705) (← links)
- Stochastic optimal control via forward and backward stochastic differential equations and importance sampling (Q680513) (← links)
- Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering (Q681989) (← links)
- Density analysis of non-Markovian BSDEs and applications to biology and finance (Q681991) (← links)
- Discrete-time probabilistic approximation of path-dependent stochastic control problems (Q744373) (← links)
- Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs (Q748315) (← links)
- A new numerical method for 1-D backward stochastic differential equations without using conditional expectations (Q778246) (← links)
- Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise (Q831252) (← links)
- Valuation of power plants by utility indifference and numerical computation (Q836863) (← links)
- Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options (Q853652) (← links)
- Numerical approach to asset pricing models with stochastic differential utility (Q853855) (← links)
- Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations (Q882887) (← links)
- Error expansion for the discretization of backward stochastic differential equations (Q886110) (← links)
- Discretisation of FBSDEs driven by càdlàg martingales (Q892339) (← links)
- Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis (Q893337) (← links)
- Efficient numerical Fourier methods for coupled forward-backward SDEs (Q898981) (← links)
- Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps (Q901242) (← links)
- Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates (Q939322) (← links)
- \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions (Q981015) (← links)
- On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights (Q981018) (← links)
- Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth (Q1617135) (← links)
- Stochastic \(L^1\)-optimal control via forward and backward sampling (Q1624907) (← links)
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement (Q1634318) (← links)
- On the homotopy analysis method for backward/forward-backward stochastic differential equations (Q1678593) (← links)
- A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus (Q1689689) (← links)
- Numerical approximation of BSDEs using local polynomial drivers and branching processes (Q1691497) (← links)
- A regression-based numerical scheme for backward stochastic differential equations (Q1695419) (← links)
- Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility (Q1697216) (← links)
- Backward nonlinear expectation equations (Q1702883) (← links)
- General linear forward and backward stochastic difference equations with applications (Q1716436) (← links)
