Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Error expansion for the discretization of backward stochastic differential equations

16 references·16 citing·25 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

2005Stochastic Integration and Differential Equations4,594 cited
1990Adapted solution of a backward stochastic differential equation2,676 cited
2006The Malliavin Calculus and Related Topics2,470 cited
1997Backward Stochastic Differential Equations in Finance2,339 cited
1995The Malliavin Calculus and Related Topics1,545 cited
1990Stochastic Integration and Differential Equations1,195 cited
1997Stochastic Analysis1,035 cited
2007Forward-Backward Stochastic Differential Equations and their Applications675 cited
2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations518 cited
2005A regression-based Monte Carlo method to solve backward stochastic differential equations412 cited
1998Asymptotic error distributions for the Euler method for stochastic differential equations400 cited
1991Mean-Variance Hedging in Continuous Time383 cited
1996The law of the Euler scheme for stochastic differential equations375 cited
2004A numerical scheme for BSDEs371 cited
1999Forward-Backward Stochastic Differential Equations and Their Applications258 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1998Backward Stochastic Differential Equations and Viscosity Solutions of Systems of Semilinear Parabolic and Elliptic PDEs of Second Order213 cited

Cited by

2010A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations95 cited
2012Least-Squares Monte Carlo for Backward SDEs85 cited
2015Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions84 cited
2014Simulation of BSDEs by Wiener chaos expansion71 cited
2014Linear Multistep Schemes for BSDEs65 cited
2016Numerical simulation of quadratic BSDEs58 cited
2009Error estimates of the $\theta$-scheme for backward stochastic differentialequations58 cited
2012Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition57 cited
2014Second order discretization of backward SDEs and simulation with the cubature method56 cited
2012A generalized $\theta$-scheme for solving backward stochastic differential equations54 cited
2014Runge–Kutta schemes for backward stochastic differential equations51 cited
2010On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights50 cited
2016RUNGE–KUTTA SCHEMES FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS50 cited
2009Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs47 cited
2013A Numerical Method and Its Error Estimates for the Decoupled Forward-Backward Stochastic Differential Equations47 cited
2015Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression42 cited