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A numerical scheme for BSDEs
13 references·16 citing·28 second hop
A numerical scheme for BSDEs (2004)A numerical scheme for BSDEsNumerical solution of stochastic differential equations (2016)Numerical solution of stochas…Forward-Backward Stochastic Differential Equations and their Applications (2007)Forward-Backward Stochastic D…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Stochastic Differential Equations (2006)Stochastic Differential Equat…Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Backward stochastic different…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Solving forward-backward stoc…Adapted 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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2016Numerical solution of stochastic differential equations5,001 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
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Cited by

  • 2019Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations311 cited
  • 2007A forward scheme for backward SDEs

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186 cited
  • 2006Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations171 cited
  • 2011A probabilistic numerical method for fully nonlinear parabolic PDEs167 cited
  • 2006A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations151 cited
  • 2007Discrete-time approximation of decoupled Forward–Backward SDE with jumps140 cited
  • 2019On Multilevel Picard Numerical Approximations for High-Dimensional Nonlinear Parabolic Partial Differential Equations and High-Dimensional Nonlinear Backward Stochastic Differential Equations134 cited
  • 2020Convergence of the deep BSDE method for coupled FBSDEs134 cited
  • 2011Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications121 cited
  • 2006Error expansion for the discretization of backward stochastic differential equations108 cited
  • 2007Mean‐Variance Portfolio Selection under Partial Information108 cited
  • 2014New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations107 cited
  • 2006Time discretization and Markovian iteration for coupled FBSDEs106 cited
  • 2013A numerical algorithm for a class of BSDEs via the branching process99 cited
  • 2010A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations95 cited
  • 2017Asymptotic Expansion as Prior Knowledge in Deep Learning Method for High Dimensional BSDEs91 cited