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Probabilistic High Order Numerical Schemes for Fully Nonlinear Parabolic PDEs
16 references·0 citing·33 second hop
Probabilistic High Order Numerical Schemes for Fully Nonlinear Parabolic PDEs (2015)Probabilistic High Order Numerical Scheme…Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Nonlinear Expectations and St…New Kinds of High-Order Multistep Schemes for Coupled Forward Backward Stochastic Differential Equations (2014)New Kinds of High-Order Multi…Wellposedness of second order backward SDEs (2011)Wellposedness of second order…A probabilistic numerical method for fully nonlinear parabolic PDEs (2011)A probabilistic numerical met…Time discretization and Markovian iteration for coupled FBSDEs (2006)Time discretization and Marko…Stochastic Differential Equations—An Introduction With Applications (2006)Stochastic Differential Equat…Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)Second‐order backward stochas…A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations (2006)A New Kind of Accurate Numeri…A forward–backward stochastic algorithm for quasi-linear PDEs (2006)A forward–backward stochastic…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…Forward-backward stochastic differential equations and quasilinear parabolic PDEs (1999)Forward-backward stochastic d…Numerical methods for forward-backward stochastic differential equations (1996)Numerical methods for forward…Probabilistic interpretation for systems of quasilinear parabolic partial differential equations (1991)Probabilistic interpretation …Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…Brownian Motion and Stochastic Calculus (1988)Adapted solution of a backward stochastic differential equation (1990)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Brownian Motion and Stochastic Calculus (2007)Backward Stochastic Differential Equations in Finance (1997)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case (2002)Controlled Markov Processes and Viscosity Solutions (2005)Coherent Measures of Risk (1999)Continuous Martingales and Brownian Motion (1999)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Arbitrage and duality in nondominated discrete-time models (2015)Stochastic Differential Equations and Diffusion Processes (1983)Monte Carlo Methods in Financial Engineering (2003)Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations (2008)Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations (2009)Martingale representation theorem for the G -expectation (2010)Numerical solution of stochastic differential equations (2016)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Martingale optimal transport and robust hedging in continuous time (2013)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Solution of forward-backward stochastic differential equations (1995)Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)Lp solutions of backward stochastic differential equations (2003)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Solving elliptic boundary value problems with uncertain coefficients by the finite element method: the stochastic formulation (2004)An adaptive hierarchical sparse grid collocation algorithm for the solution of stochastic differential equations (2009)
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References

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  • 2011Wellposedness of second order backward SDEs289 cited
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  • 2006A forward–backward stochastic algorithm for quasi-linear PDEs

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136 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
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