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Numerical approximation of Backward Stochastic Differential Equations with Jumps
16 references·0 citing·28 second hop
Numerical approximation of Backward Stochastic Differential Equations with Jumps (2014)Numerical approximation of Backward Stoch…Discrete-time approximation of decoupled Forward–Backward SDE with jumps (2007)Discrete-time approximation o…Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging (2006)Bounded solutions to backward…Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Backward stochastic different…A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)A regression-based Monte Carl…Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Discrete-time approximation a…A numerical scheme for BSDEs (2004)A numerical scheme for BSDEsA quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)A quantization algorithm for …Numberical Method for Backward Stochastic Differential Equations (2002)Numberical Method for Backwar…Donsker-Type Theorem for BSDEs (2001)Donsker-Type Theorem for BSDEsOn solutions of backward stochastic differential equations with jumps and applications (1997)On solutions of backward stoc…Numerical Methods for Backward Stochastic Differential Equations (1997)Numerical Methods for Backwar…Backward stochastic differential equations and integral-partial differential equations (1997)Backward stochastic different…Numerical methods for forward-backward stochastic differential equations (1996)Numerical methods for forward…Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Solving forward-backward stoc…Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps (1994)Necessary Conditions for Opti…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Stochastic Differential Equations and Diffusion Processes (1983)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Mean-field backward stochastic differential equations and related partial differential equations (2009)Brownian Motion and Stochastic Calculus (1988)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Brownian Motion and Stochastic Calculus (2007)Backward Stochastic Differential Equations in Finance (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Limit Theorems for Stochastic Processes (2003)Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem (2008)Reflected and doubly reflected BSDEs with jumps: A priori estimates and comparison (2008)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)A forward scheme for backward SDEs (2007)Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)Controlled Diffusion Processes (1980)Stochastic Integration and Differential Equations (1990)Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)Stochastic Differential Equations (2003)Optimal Quantization Methods and Applications to Numerical Problems in Finance (2004)A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (2008)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Forward-backward stochastic differential equations and quasilinear parabolic PDEs (1999)Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations (2006)Numerical solution of stochastic differential equations (2016)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)
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References

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  • 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme740 cited
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  • 2003A quantization algorithm for solving multidimensional discrete-time optimal stopping problems213 cited
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  • 2002Numberical Method for Backward Stochastic Differential Equations154 cited
  • 2007Discrete-time approximation of decoupled Forward–Backward SDE with jumps

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140 cited
  • 2001Donsker-Type Theorem for BSDEs108 cited
  • 1997Numerical Methods for Backward Stochastic Differential Equations102 cited
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