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Malliavin calculus for backward stochastic differential equations and application to numerical solutions

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References

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Cited by

2013BSDEs with terminal conditions that have bounded Malliavin derivative46 cited
2015Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression42 cited
2018Linear Volterra backward stochastic integral equations30 cited
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2012Maximum Principle for General Controlled Systems Driven by Fractional Brownian Motions27 cited
2016Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations26 cited
2017Singular mean-field control games24 cited
2014Monotone schemes for fully nonlinear parabolic path dependent PDEs23 cited
2021Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation20 cited