Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

2004/06/01 by Bruno Bouchard, Nizar Touzi · 9 citations

paper · doi:10.1016/j.spa.2004.01.001

Cited by

• An Euler scheme for BSDEs via the Wiener chaos decomposition
• A Deep Learning-Based Method for Fully Coupled Non-Markovian FBSDEs with Applications
• Convergence analysis for an implementable scheme to solve the linear-quadratic stochastic optimal control problem with stochastic wave equation
• Deep Forward-Backward Dynamic Programming Schemes for High-Dimensional Semilinear Nonlocal PDEs and FBSDE with Jumps
• Rough Path Signatures: Learning Neural RDEs for Portfolio Optimization
• Error Propagation in Dynamic Programming: From Stochastic Control to Option Pricing
• A Discretization Scheme for BSDEs with Random Time Horizon
• On the Weak Error for Local Stochastic Volatility Models
• A Geometric Inverse Source Problem for Stochastic Parabolic Equations