Kapllani, Lorenc; Teng, Long Deep learning algorithms for solving high-dimensional nonlinear backward stochastic differential equations. (English) Zbl 07807487 Discrete Contin. Dyn. Syst., Ser. B 29, No. 4, 1695-1729 (2024). MSC: 60H35 65C30 68T07 65C20 PDFBibTeX XMLCite \textit{L. Kapllani} and \textit{L. Teng}, Discrete Contin. Dyn. Syst., Ser. B 29, No. 4, 1695--1729 (2024; Zbl 07807487) Full Text: DOI arXiv
Li, Xiaochen; Du, Kai Sequential propagation of chaos for mean-field BSDE systems. (English) Zbl 07804887 Chin. Ann. Math., Ser. B 45, No. 1, 11-40 (2024). MSC: 65C35 82C22 60J60 60B10 PDFBibTeX XMLCite \textit{X. Li} and \textit{K. Du}, Chin. Ann. Math., Ser. B 45, No. 1, 11--40 (2024; Zbl 07804887) Full Text: DOI
Sun, Yongwang; Zhao, Weidong; Zhao, Wenju A generalized finite element \(\theta\)-scheme for backward stochastic partial differential equations and its error estimates. (English) Zbl 07799050 ESAIM, Math. Model. Numer. Anal. 58, No. 1, 23-46 (2024). MSC: 65M60 65C30 65M06 65N30 65M12 65M15 65Y05 60H15 60H35 60J65 35R60 PDFBibTeX XMLCite \textit{Y. Sun} et al., ESAIM, Math. Model. Numer. Anal. 58, No. 1, 23--46 (2024; Zbl 07799050) Full Text: DOI
Fang, Shuixin; Zhao, Weidong ODE-based multistep schemes for backward stochastic differential equations. (English) Zbl 07814777 Numer. Math., Theory Methods Appl. 16, No. 4, 1053-1086 (2023). MSC: 65C30 60H35 65C20 PDFBibTeX XMLCite \textit{S. Fang} and \textit{W. Zhao}, Numer. Math., Theory Methods Appl. 16, No. 4, 1053--1086 (2023; Zbl 07814777) Full Text: DOI
Gao, Chengfan; Gao, Siping; Hu, Ruimeng; Zhu, Zimu Convergence of the backward deep BSDE method with applications to optimal stopping problems. (English) Zbl 1527.60031 SIAM J. Financ. Math. 14, No. 4, 1290-1303 (2023). MSC: 60G40 60H35 65C30 PDFBibTeX XMLCite \textit{C. Gao} et al., SIAM J. Financ. Math. 14, No. 4, 1290--1303 (2023; Zbl 1527.60031) Full Text: DOI arXiv
Reisinger, Christoph; Stockinger, Wolfgang; Zhang, Yufei Linear convergence of a policy gradient method for some finite horizon continuous time control problems. (English) Zbl 07782638 SIAM J. Control Optim. 61, No. 6, 3526-3558 (2023). MSC: 68Q25 93E20 49M05 PDFBibTeX XMLCite \textit{C. Reisinger} et al., SIAM J. Control Optim. 61, No. 6, 3526--3558 (2023; Zbl 07782638) Full Text: DOI arXiv
Bokanowski, Olivier; Prost, Averil; Warin, Xavier Neural networks for first order HJB equations and application to front propagation with obstacle terms. (English) Zbl 1527.35140 SN Partial Differ. Equ. Appl. 4, No. 5, Paper No. 45, 36 p. (2023). MSC: 35F21 49L20 68T07 PDFBibTeX XMLCite \textit{O. Bokanowski} et al., SN Partial Differ. Equ. Appl. 4, No. 5, Paper No. 45, 36 p. (2023; Zbl 1527.35140) Full Text: DOI arXiv
Schütte, Christof; Klus, Stefan; Hartmann, Carsten Overcoming the timescale barrier in molecular dynamics: transfer operators, variational principles and machine learning. (English) Zbl 07736659 Acta Numerica 32, 517-673 (2023). MSC: 65-XX 37M10 37M25 82C31 82M37 47D07 60J35 60J60 PDFBibTeX XMLCite \textit{C. Schütte} et al., Acta Numerica 32, 517--673 (2023; Zbl 07736659) Full Text: DOI
Zhou, Qin; Li, Binjie Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation. (English) Zbl 07732874 Sci. China, Math. 66, No. 9, 2133-2156 (2023). MSC: 65C30 65K10 PDFBibTeX XMLCite \textit{Q. Zhou} and \textit{B. Li}, Sci. China, Math. 66, No. 9, 2133--2156 (2023; Zbl 07732874) Full Text: DOI arXiv
Nguwi, Jiang Yu; Privault, Nicolas A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations. (English) Zbl 1517.65009 SN Partial Differ. Equ. Appl. 4, No. 4, Paper No. 37, 20 p. (2023). MSC: 65C30 60H15 65M99 68T07 91G20 91G60 PDFBibTeX XMLCite \textit{J. Y. Nguwi} and \textit{N. Privault}, SN Partial Differ. Equ. Appl. 4, No. 4, Paper No. 37, 20 p. (2023; Zbl 1517.65009) Full Text: DOI arXiv
Alfonsi, Aurélien; Lapeyre, Bernard; Lelong, Jérôme How many inner simulations to compute conditional expectations with least-square Monte Carlo? (English) Zbl 1517.65005 Methodol. Comput. Appl. Probab. 25, No. 3, Paper No. 71, 25 p. (2023). MSC: 65C05 91G60 PDFBibTeX XMLCite \textit{A. Alfonsi} et al., Methodol. Comput. Appl. Probab. 25, No. 3, Paper No. 71, 25 p. (2023; Zbl 1517.65005) Full Text: DOI arXiv
Papapantoleon, Antonis; Possamaï, Dylan; Saplaouras, Alexandros Stability of backward stochastic differential equations: the general Lipschitz case. (English) Zbl 1520.60050 Electron. J. Probab. 28, Paper No. 51, 56 p. (2023). Reviewer: Alexandra Rodkina (College Station) MSC: 60J76 60H05 60H20 PDFBibTeX XMLCite \textit{A. Papapantoleon} et al., Electron. J. Probab. 28, Paper No. 51, 56 p. (2023; Zbl 1520.60050) Full Text: DOI arXiv Link
Yoshioka, Hidekazu; Hamagami, Kunihiko; Tomobe, Haruka A non-local Fokker-Planck equation with application to probabilistic evaluation of sediment replenishment projects. (English) Zbl 1515.60228 Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 34, 37 p. (2023). MSC: 60H10 65M08 82C31 PDFBibTeX XMLCite \textit{H. Yoshioka} et al., Methodol. Comput. Appl. Probab. 25, No. 1, Paper No. 34, 37 p. (2023; Zbl 1515.60228) Full Text: DOI
Fang, Shuixin; Zhao, Weidong; Zhou, Tao Strong stability preserving multistep schemes for forward backward stochastic differential equations. (English) Zbl 1516.65003 J. Sci. Comput. 94, No. 3, Paper No. 53, 32 p. (2023). MSC: 65C30 60H35 65C20 PDFBibTeX XMLCite \textit{S. Fang} et al., J. Sci. Comput. 94, No. 3, Paper No. 53, 32 p. (2023; Zbl 1516.65003) Full Text: DOI
Cheridito, Patrick; Gersey, Balint Computation of conditional expectations with guarantees. (English) Zbl 07698853 J. Sci. Comput. 95, No. 1, Paper No. 12, 30 p. (2023). MSC: 62J02 65G99 65C05 65C20 68T05 PDFBibTeX XMLCite \textit{P. Cheridito} and \textit{B. Gersey}, J. Sci. Comput. 95, No. 1, Paper No. 12, 30 p. (2023; Zbl 07698853) Full Text: DOI arXiv
Chessari, Jared; Kawai, Reiichiro; Shinozaki, Yuji; Yamada, Toshihiro Numerical methods for backward stochastic differential equations: a survey. (English) Zbl 1515.65023 Probab. Surv. 20, 486-567 (2023). MSC: 65C30 60H35 65C05 93E20 49L20 60H07 68T07 65-02 PDFBibTeX XMLCite \textit{J. Chessari} et al., Probab. Surv. 20, 486--567 (2023; Zbl 1515.65023) Full Text: DOI arXiv Link
Grohs, Philipp; Hornung, Fabian; Jentzen, Arnulf; von Wurstemberger, Philippe A proof that artificial neural networks overcome the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations. (English) Zbl 07679303 Memoirs of the American Mathematical Society 1410. Providence, RI: American Mathematical Society (AMS) (ISBN 978-1-4704-5632-0/pbk; 978-1-4704-7448-5/ebook). v, 93 p. (2023). MSC: 65-02 65D99 35Kxx 60Hxx PDFBibTeX XMLCite \textit{P. Grohs} et al., A proof that artificial neural networks overcome the curse of dimensionality in the numerical approximation of Black-Scholes partial differential equations. Providence, RI: American Mathematical Society (AMS) (2023; Zbl 07679303) Full Text: DOI arXiv
Beck, Christian; Hutzenthaler, Martin; Jentzen, Arnulf; Kuckuck, Benno An overview on deep learning-based approximation methods for partial differential equations. (English) Zbl 07675828 Discrete Contin. Dyn. Syst., Ser. B 28, No. 6, 3697-3746 (2023). MSC: 65-02 68T07 35-02 65M99 PDFBibTeX XMLCite \textit{C. Beck} et al., Discrete Contin. Dyn. Syst., Ser. B 28, No. 6, 3697--3746 (2023; Zbl 07675828) Full Text: DOI arXiv
Hutzenthaler, Martin; Jentzen, Arnulf; Kruse, Thomas; Tuan Anh Nguyen Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations. (English) Zbl 1515.65025 J. Numer. Math. 31, No. 1, 1-28 (2023). Reviewer: Kevin Burrage (Brisbane) MSC: 65C30 60H35 65C05 PDFBibTeX XMLCite \textit{M. Hutzenthaler} et al., J. Numer. Math. 31, No. 1, 1--28 (2023; Zbl 1515.65025) Full Text: DOI arXiv
Han, Qiang; Ji, Shaolin Two-step scheme for backward stochastic differential equations. (English) Zbl 1524.60158 J. Comput. Math. 41, No. 2, 287-304 (2023). MSC: 60H35 60H10 65C05 PDFBibTeX XMLCite \textit{Q. Han} and \textit{S. Ji}, J. Comput. Math. 41, No. 2, 287--304 (2023; Zbl 1524.60158) Full Text: DOI
Callegaro, Giorgia; Gnoatto, Alessandro; Grasselli, Martino A fully quantization-based scheme for FBSDEs. (English) Zbl 1511.65011 Appl. Math. Comput. 441, Article ID 127666, 18 p. (2023). MSC: 65C30 60H10 60H20 65C40 PDFBibTeX XMLCite \textit{G. Callegaro} et al., Appl. Math. Comput. 441, Article ID 127666, 18 p. (2023; Zbl 1511.65011) Full Text: DOI arXiv
Han, Qiang; Ji, Shaolin Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo. (English) Zbl 1499.60249 J. Comput. Appl. Math. 417, Article ID 114543, 17 p. (2023). MSC: 60H35 65C05 65C20 PDFBibTeX XMLCite \textit{Q. Han} and \textit{S. Ji}, J. Comput. Appl. Math. 417, Article ID 114543, 17 p. (2023; Zbl 1499.60249) Full Text: DOI
Germain, Maximilien; Mikael, Joseph; Warin, Xavier Numerical resolution of McKean-Vlasov FBSDEs using neural networks. (English) Zbl 1505.65010 Methodol. Comput. Appl. Probab. 24, No. 4, 2557-2586 (2022). MSC: 65C30 68T07 49N80 35Q89 PDFBibTeX XMLCite \textit{M. Germain} et al., Methodol. Comput. Appl. Probab. 24, No. 4, 2557--2586 (2022; Zbl 1505.65010) Full Text: DOI arXiv
Han, Qiang; Ji, Shaolin A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo. (English) Zbl 1505.65002 Methodol. Comput. Appl. Probab. 24, No. 4, 2403-2426 (2022). MSC: 65C05 60H35 PDFBibTeX XMLCite \textit{Q. Han} and \textit{S. Ji}, Methodol. Comput. Appl. Probab. 24, No. 4, 2403--2426 (2022; Zbl 1505.65002) Full Text: DOI
Zhou, Quan; Sun, Yabing High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion. (English) Zbl 1504.65020 Discrete Contin. Dyn. Syst., Ser. B 27, No. 8, 4387-4413 (2022). MSC: 65C30 60H10 60H35 PDFBibTeX XMLCite \textit{Q. Zhou} and \textit{Y. Sun}, Discrete Contin. Dyn. Syst., Ser. B 27, No. 8, 4387--4413 (2022; Zbl 1504.65020) Full Text: DOI
Ji, Shaolin; Liu, Haodong Solvability of forward-backward stochastic difference equations with finite states. (English) Zbl 1505.39017 Stochastics 94, No. 6, 905-925 (2022). MSC: 39A50 60G42 PDFBibTeX XMLCite \textit{S. Ji} and \textit{H. Liu}, Stochastics 94, No. 6, 905--925 (2022; Zbl 1505.39017) Full Text: DOI arXiv
Ji, Shaolin; Xu, Rundong A modified method of successive approximations for stochastic recursive optimal control problems. (English) Zbl 1498.93781 SIAM J. Control Optim. 60, No. 5, 2759-2786 (2022). MSC: 93E20 60H30 49M05 PDFBibTeX XMLCite \textit{S. Ji} and \textit{R. Xu}, SIAM J. Control Optim. 60, No. 5, 2759--2786 (2022; Zbl 1498.93781) Full Text: DOI arXiv
Chassagneux, Jean-François; Yang, Mohan Numerical approximation of singular forward-backward SDEs. (English) Zbl 07578891 J. Comput. Phys. 468, Article ID 111459, 21 p. (2022). MSC: 60Hxx 65Cxx 91Gxx PDFBibTeX XMLCite \textit{J.-F. Chassagneux} and \textit{M. Yang}, J. Comput. Phys. 468, Article ID 111459, 21 p. (2022; Zbl 07578891) Full Text: DOI arXiv
Hutzenthaler, Martin; Nguyen, Tuan Anh Multilevel Picard approximations of high-dimensional semilinear partial differential equations with locally monotone coefficient functions. (English) Zbl 1514.65144 Appl. Numer. Math. 181, 151-175 (2022). Reviewer: Piotr Biler (Wrocław) MSC: 65M75 35K58 65C05 65M15 47J26 PDFBibTeX XMLCite \textit{M. Hutzenthaler} and \textit{T. A. Nguyen}, Appl. Numer. Math. 181, 151--175 (2022; Zbl 1514.65144) Full Text: DOI arXiv
Hutzenthaler, Martin; Jentzen, Arnulf; Kruse, Thomas Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities. (English) Zbl 1501.65084 Found. Comput. Math. 22, No. 4, 905-966 (2022). MSC: 65M75 65C05 35K05 35Q79 35R60 PDFBibTeX XMLCite \textit{M. Hutzenthaler} et al., Found. Comput. Math. 22, No. 4, 905--966 (2022; Zbl 1501.65084) Full Text: DOI arXiv
Dai, Wanyang Convolutional neural network based simulation and analysis for backward stochastic partial differential equations. (English) Zbl 1524.60120 Comput. Math. Appl. 119, 21-58 (2022). MSC: 60H10 93E20 68T07 PDFBibTeX XMLCite \textit{W. Dai}, Comput. Math. Appl. 119, 21--58 (2022; Zbl 1524.60120) Full Text: DOI
Wang, Xu; Zhao, Weidong; Zhou, Tao Sinc-\(\theta\) schemes for backward stochastic differential equations. (English) Zbl 1506.65024 SIAM J. Numer. Anal. 60, No. 4, 1799-1823 (2022). MSC: 65C30 60H10 60H35 PDFBibTeX XMLCite \textit{X. Wang} et al., SIAM J. Numer. Anal. 60, No. 4, 1799--1823 (2022; Zbl 1506.65024) Full Text: DOI
Oster, Mathias; Sallandt, Leon; Schneider, Reinhold Approximating optimal feedback controllers of finite horizon control problems using hierarchical tensor formats. (English) Zbl 1491.49021 SIAM J. Sci. Comput. 44, No. 3, B746-B770 (2022). MSC: 49N35 49K15 15A69 49M41 PDFBibTeX XMLCite \textit{M. Oster} et al., SIAM J. Sci. Comput. 44, No. 3, B746--B770 (2022; Zbl 1491.49021) Full Text: DOI arXiv
Al-Aradi, Ali; Correia, Adolfo; Jardim, Gabriel; de Freitas Naiff, Danilo; Saporito, Yuri Extensions of the deep Galerkin method. (English) Zbl 1510.65010 Appl. Math. Comput. 430, Article ID 127287, 18 p. (2022). MSC: 65C30 60H30 60H35 68T07 65M99 65M70 PDFBibTeX XMLCite \textit{A. Al-Aradi} et al., Appl. Math. Comput. 430, Article ID 127287, 18 p. (2022; Zbl 1510.65010) Full Text: DOI arXiv
Sun, Dingqian; Liang, Gechun; Tang, Shanjian Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection. (English) Zbl 1487.65012 Probab. Uncertain. Quant. Risk 7, No. 1, 13-30 (2022). MSC: 65C30 60H10 60H30 PDFBibTeX XMLCite \textit{D. Sun} et al., Probab. Uncertain. Quant. Risk 7, No. 1, 13--30 (2022; Zbl 1487.65012) Full Text: DOI arXiv
Ge, Yingming; Li, Lingfei; Zhang, Gongqiu A Fourier transform method for solving backward stochastic differential equations. (English) Zbl 1487.65008 Methodol. Comput. Appl. Probab. 24, No. 1, 385-412 (2022). MSC: 65C30 60H35 65T50 91G20 91G60 PDFBibTeX XMLCite \textit{Y. Ge} et al., Methodol. Comput. Appl. Probab. 24, No. 1, 385--412 (2022; Zbl 1487.65008) Full Text: DOI
Sun, Yabing; Yang, Jie; Zhao, Weidong; Zhou, Tao An explicit multistep scheme for mean-field forward-backward stochastic differential equations. (English) Zbl 1499.65021 J. Comput. Math. 40, No. 4, 519-543 (2022). MSC: 65C30 60H10 60H35 PDFBibTeX XMLCite \textit{Y. Sun} et al., J. Comput. Math. 40, No. 4, 519--543 (2022; Zbl 1499.65021) Full Text: DOI
Teng, Long Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations. (English) Zbl 1510.65274 Appl. Math. Comput. 426, Article ID 127119, 19 p. (2022). MSC: 65M75 60H35 65C30 PDFBibTeX XMLCite \textit{L. Teng}, Appl. Math. Comput. 426, Article ID 127119, 19 p. (2022; Zbl 1510.65274) Full Text: DOI arXiv
Kapllani, Lorenc; Teng, Long Multistep schemes for solving backward stochastic differential equations on GPU. (English) Zbl 1485.91251 J. Math. Ind. 12, Paper No. 5, 22 p. (2022). MSC: 91G60 65C30 65Y10 PDFBibTeX XMLCite \textit{L. Kapllani} and \textit{L. Teng}, J. Math. Ind. 12, Paper No. 5, 22 p. (2022; Zbl 1485.91251) Full Text: DOI
Germain, Maximilien; Pham, Huyên; Warin, Xavier Approximation error analysis of some deep backward schemes for nonlinear PDEs. (English) Zbl 1490.65231 SIAM J. Sci. Comput. 44, No. 1, A28-A56 (2022). MSC: 65M99 65C20 65M12 60H35 PDFBibTeX XMLCite \textit{M. Germain} et al., SIAM J. Sci. Comput. 44, No. 1, A28--A56 (2022; Zbl 1490.65231) Full Text: DOI arXiv
E, Weinan; Han, Jiequn; Jentzen, Arnulf Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning. (English) Zbl 1490.60202 Nonlinearity 35, No. 1, 278-310 (2022). MSC: 60H30 60H35 65C05 65C30 65M75 PDFBibTeX XMLCite \textit{W. E} et al., Nonlinearity 35, No. 1, 278--310 (2022; Zbl 1490.60202) Full Text: DOI arXiv
Izydorczyk, Lucas; Oudjane, Nadia; Russo, Francesco McKean Feynman-Kac probabilistic representations of non-linear partial differential equations. (English) Zbl 1499.60189 Ugolini, Stefania (ed.) et al., Geometry and invariance in stochastic dynamics. Selected papers based on the presentations at the the conference on random transformations and invariance in stochastic dynamics, Verona, Italy, March 25–29, 2019. Cham: Springer. Springer Proc. Math. Stat. 378, 187-212 (2021). MSC: 60H10 60H30 60J60 65C05 65C35 35K58 PDFBibTeX XMLCite \textit{L. Izydorczyk} et al., Springer Proc. Math. Stat. 378, 187--212 (2021; Zbl 1499.60189) Full Text: DOI arXiv
Li, Xiaofei; Wu, Yi; Zhu, Quanxin; Hu, Songbo; Qin, Chuan A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations. (English) Zbl 1494.65005 Adv. Difference Equ. 2021, Paper No. 207, 13 p. (2021). MSC: 65C30 60H15 65C05 PDFBibTeX XMLCite \textit{X. Li} et al., Adv. Difference Equ. 2021, Paper No. 207, 13 p. (2021; Zbl 1494.65005) Full Text: DOI
Izydorczyk, Lucas; Oudjane, Nadia; Russo, Francesco A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems. (English) Zbl 1480.60181 Monte Carlo Methods Appl. 27, No. 4, 347-371 (2021). MSC: 60H15 60H30 35K58 49L25 60J60 65C05 PDFBibTeX XMLCite \textit{L. Izydorczyk} et al., Monte Carlo Methods Appl. 27, No. 4, 347--371 (2021; Zbl 1480.60181) Full Text: DOI arXiv
E, Weinan; Hutzenthaler, Martin; Jentzen, Arnulf; Kruse, Thomas Multilevel Picard iterations for solving smooth semilinear parabolic heat equations. (English) Zbl 1476.65273 SN Partial Differ. Equ. Appl. 2, No. 6, Paper No. 80, 31 p. (2021). MSC: 65M75 65C05 68T07 PDFBibTeX XMLCite \textit{W. E} et al., SN Partial Differ. Equ. Appl. 2, No. 6, Paper No. 80, 31 p. (2021; Zbl 1476.65273) Full Text: DOI arXiv
Nüsken, Nikolas; Richter, Lorenz Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space. (English) Zbl 1480.35101 SN Partial Differ. Equ. Appl. 2, No. 4, Paper No. 48, 48 p. (2021). MSC: 35F21 35R06 PDFBibTeX XMLCite \textit{N. Nüsken} and \textit{L. Richter}, SN Partial Differ. Equ. Appl. 2, No. 4, Paper No. 48, 48 p. (2021; Zbl 1480.35101) Full Text: DOI arXiv
Becker, Sebastian; Cheridito, Patrick; Jentzen, Arnulf; Welti, Timo Solving high-dimensional optimal stopping problems using deep learning. (English) Zbl 1505.91413 Eur. J. Appl. Math. 32, No. 3, 470-514 (2021). MSC: 91G60 65C05 91G20 60G40 68T07 PDFBibTeX XMLCite \textit{S. Becker} et al., Eur. J. Appl. Math. 32, No. 3, 470--514 (2021; Zbl 1505.91413) Full Text: DOI arXiv
Li, Yunzhang; Tang, Shanjian Approximation of BSDEs with super-linearly growing generators by Euler’s polygonal line method: a simple proof of the existence. (English) Zbl 1475.60107 Syst. Control Lett. 153, Article ID 104952, 10 p. (2021). MSC: 60H10 60H35 65C30 PDFBibTeX XMLCite \textit{Y. Li} and \textit{S. Tang}, Syst. Control Lett. 153, Article ID 104952, 10 p. (2021; Zbl 1475.60107) Full Text: DOI
Geiss, Stefan; Ylinen, Juha Decoupling on the Wiener space, related Besov spaces, and applications to BSDEs. (English) Zbl 1494.60002 Memoirs of the American Mathematical Society 1335. Providence, RI: American Mathematical Society (AMS) (ISBN 978-1-4704-4935-3/pbk; 978-1-4704-6751-7/ebook). iv, 112 p. (2021). Reviewer: Isamu Dôku (Saitama) MSC: 60-02 60H07 60H10 46E35 PDFBibTeX XMLCite \textit{S. Geiss} and \textit{J. Ylinen}, Decoupling on the Wiener space, related Besov spaces, and applications to BSDEs. Providence, RI: American Mathematical Society (AMS) (2021; Zbl 1494.60002) Full Text: DOI arXiv Link
Guo, Ivan; Loeper, Grégoire Path dependent optimal transport and model calibration on exotic derivatives. (English) Zbl 1479.60144 Ann. Appl. Probab. 31, No. 3, 1232-1263 (2021). MSC: 60H30 49Q22 91G20 93E20 PDFBibTeX XMLCite \textit{I. Guo} and \textit{G. Loeper}, Ann. Appl. Probab. 31, No. 3, 1232--1263 (2021; Zbl 1479.60144) Full Text: DOI arXiv Link
Lapeyre, Bernard; Lelong, Jérôme Neural network regression for Bermudan option pricing. (English) Zbl 1476.62205 Monte Carlo Methods Appl. 27, No. 3, 227-247 (2021). MSC: 62L20 62L15 62M45 62P05 60G40 68T07 91G60 65Y05 PDFBibTeX XMLCite \textit{B. Lapeyre} and \textit{J. Lelong}, Monte Carlo Methods Appl. 27, No. 3, 227--247 (2021; Zbl 1476.62205) Full Text: DOI arXiv
Zhou, Quan; Sun, Yabing Explicit high order one-step methods for decoupled forward backward stochastic differential equations. (English) Zbl 1488.65018 Adv. Appl. Math. Mech. 13, No. 6, 1293-1317 (2021). MSC: 65C30 60H10 60H35 PDFBibTeX XMLCite \textit{Q. Zhou} and \textit{Y. Sun}, Adv. Appl. Math. Mech. 13, No. 6, 1293--1317 (2021; Zbl 1488.65018) Full Text: DOI
Beck, Christian; Becker, Sebastian; Cheridito, Patrick; Jentzen, Arnulf; Neufeld, Ariel Deep splitting method for parabolic PDEs. (English) Zbl 1501.65054 SIAM J. Sci. Comput. 43, No. 5, A3135-A3154 (2021). MSC: 65M22 68T07 60H35 65C05 35K15 35K55 91G20 91G60 93E20 PDFBibTeX XMLCite \textit{C. Beck} et al., SIAM J. Sci. Comput. 43, No. 5, A3135--A3154 (2021; Zbl 1501.65054) Full Text: DOI arXiv
Prohl, Andreas; Wang, Yanqing Strong 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 equation. (English) Zbl 1467.60050 ESAIM, Control Optim. Calc. Var. 27, Paper No. 54, 30 p. (2021). MSC: 60H15 60H35 49J20 49J55 65M60 93E20 49N10 35K05 35R60 PDFBibTeX XMLCite \textit{A. Prohl} and \textit{Y. Wang}, ESAIM, Control Optim. Calc. Var. 27, Paper No. 54, 30 p. (2021; Zbl 1467.60050) Full Text: DOI arXiv
Hu, Mingshang; Jiang, Lianzi An efficient numerical method for forward-backward stochastic differential equations driven by \(G\)-Brownian motion. (English) Zbl 1484.65012 Appl. Numer. Math. 165, 578-597 (2021). MSC: 65C30 60G65 60H10 PDFBibTeX XMLCite \textit{M. Hu} and \textit{L. Jiang}, Appl. Numer. Math. 165, 578--597 (2021; Zbl 1484.65012) Full Text: DOI arXiv
Teng, Long; Zhao, Weidong High-order combined multi-step scheme for solving forward backward stochastic differential equations. (English) Zbl 07353297 J. Sci. Comput. 87, No. 3, Paper No. 81, 25 p. (2021). MSC: 65C30 60H10 60H35 PDFBibTeX XMLCite \textit{L. Teng} and \textit{W. Zhao}, J. Sci. Comput. 87, No. 3, Paper No. 81, 25 p. (2021; Zbl 07353297) Full Text: DOI arXiv
Kapllani, Lorenc; Teng, Long; Ehrhardt, Matthias A multistep scheme to solve backward stochastic differential equations for option pricing on GPUs. (English) Zbl 1461.91353 Dimov, Ivan (ed.) et al., Advances in high performance computing. Results of the international conference on high performance computing, Borovets, Bulgaria, September 2–6, 2019. Cham: Springer. Stud. Comput. Intell. 902, 196-208 (2021). Reviewer: Nikolay Kyurkchiev (Plovdiv) MSC: 91G60 65C30 91G20 PDFBibTeX XMLCite \textit{L. Kapllani} et al., Stud. Comput. Intell. 902, 196--208 (2021; Zbl 1461.91353) Full Text: DOI arXiv
Hutzenthaler, Martin; Jentzen, Arnulf; Kruse, Thomas; Nguyen, Tuan Anh; von Wurstemberger, Philippe Overcoming the curse of dimensionality in the numerical approximation of semilinear parabolic partial differential equations. (English) Zbl 1472.65157 Proc. R. Soc. Lond., A, Math. Phys. Eng. Sci. 476, No. 2244, Article ID 20190630, 25 p. (2020). MSC: 65N75 35K58 65C05 PDFBibTeX XMLCite \textit{M. Hutzenthaler} et al., Proc. R. Soc. Lond., A, Math. Phys. Eng. Sci. 476, No. 2244, Article ID 20190630, 25 p. (2020; Zbl 1472.65157) Full Text: DOI arXiv Link
Yang, Xu; Zhao, Weidong Finite element methods for nonlinear backward stochastic partial differential equations and their error estimates. (English) Zbl 1488.60168 Adv. Appl. Math. Mech. 12, No. 6, 1457-1480 (2020). MSC: 60H15 60H35 65C30 65M60 PDFBibTeX XMLCite \textit{X. Yang} and \textit{W. Zhao}, Adv. Appl. Math. Mech. 12, No. 6, 1457--1480 (2020; Zbl 1488.60168) Full Text: DOI
Chau, Ki Wai; Tang, Jok; Oosterlee, Cornelis W. An SGBM-XVA demonstrator: a scalable Python tool for pricing XVA. (English) Zbl 1471.91617 J. Math. Ind. 10, Paper No. 7, 19 p. (2020). MSC: 91G60 65C05 91G20 PDFBibTeX XMLCite \textit{K. W. Chau} et al., J. Math. Ind. 10, Paper No. 7, 19 p. (2020; Zbl 1471.91617) Full Text: DOI
Geiss, Christel; Labart, Céline; Luoto, Antti Mean square rate of convergence for random walk approximation of forward-backward SDEs. (English) Zbl 1473.60089 Adv. Appl. Probab. 52, No. 3, 735-771 (2020). MSC: 60H10 60H35 60G50 60H30 PDFBibTeX XMLCite \textit{C. Geiss} et al., Adv. Appl. Probab. 52, No. 3, 735--771 (2020; Zbl 1473.60089) Full Text: DOI arXiv Link
Zawisza, Dariusz On the parabolic equation for portfolio problems. (English) Zbl 1460.91257 Jakubowski, Jacek (ed.) et al., Stochastic modeling and control. Based on the Simons semester, Warsaw, Poland, January 2 – March 31, 2019. Warsaw: Polish Academy of Sciences, Institute of Mathematics. Banach Cent. Publ. 122, 287-302 (2020). MSC: 91G10 93E20 35K58 35Q91 PDFBibTeX XMLCite \textit{D. Zawisza}, Banach Cent. Publ. 122, 287--302 (2020; Zbl 1460.91257) Full Text: DOI arXiv
Ruszczyński, Andrzej; Yao, Jianing A dual method for evaluation of dynamic risk in diffusion processes. (English) Zbl 1458.60090 ESAIM, Control Optim. Calc. Var. 26, Paper No. 96, 20 p. (2020). MSC: 60J60 60H35 49L20 49M25 49M29 PDFBibTeX XMLCite \textit{A. Ruszczyński} and \textit{J. Yao}, ESAIM, Control Optim. Calc. Var. 26, Paper No. 96, 20 p. (2020; Zbl 1458.60090) Full Text: DOI arXiv
Ankirchner, Stefan; Engelhardt, Stefan; Fromm, Alexander; Dos Reis, Gonçalo The Skorokhod embedding problem for inhomogeneous diffusions. (English. French summary) Zbl 1466.60082 Ann. Inst. Henri Poincaré, Probab. Stat. 56, No. 3, 1606-1640 (2020). Reviewer: Krzysztof J. Szajowski (Wrocław) MSC: 60G40 60H10 60J25 PDFBibTeX XMLCite \textit{S. Ankirchner} et al., Ann. Inst. Henri Poincaré, Probab. Stat. 56, No. 3, 1606--1640 (2020; Zbl 1466.60082) Full Text: DOI arXiv Euclid
Zanger, Daniel Z. General error estimates for the Longstaff-Schwartz least-squares Monte Carlo algorithm. (English) Zbl 1457.65004 Math. Oper. Res. 45, No. 3, 923-946 (2020). MSC: 65C05 91G20 60G40 91G60 PDFBibTeX XMLCite \textit{D. Z. Zanger}, Math. Oper. Res. 45, No. 3, 923--946 (2020; Zbl 1457.65004) Full Text: DOI
Hutzenthaler, Martin; Jentzen, Arnulf; von Wurstemberger, Philippe Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks. (English) Zbl 1469.60220 Electron. J. Probab. 25, Paper No. 101, 73 p. (2020). MSC: 60H35 35K58 60H10 60H30 91G20 PDFBibTeX XMLCite \textit{M. Hutzenthaler} et al., Electron. J. Probab. 25, Paper No. 101, 73 p. (2020; Zbl 1469.60220) Full Text: DOI arXiv Euclid
Yang, Jie; Zhao, Weidong; Zhou, Tao A unified probabilistic discretization scheme for FBSDEs: stability, consistency, and convergence analysis. (English) Zbl 1454.60106 SIAM J. Numer. Anal. 58, No. 4, 2351-2375 (2020). MSC: 60H35 65C20 93E15 60H10 PDFBibTeX XMLCite \textit{J. Yang} et al., SIAM J. Numer. Anal. 58, No. 4, 2351--2375 (2020; Zbl 1454.60106) Full Text: DOI
van Ackooij, W.; Warin, X. On conditional cuts for stochastic dual dynamic programming. (English) Zbl 1441.90111 EURO J. Comput. Optim. 8, No. 2, 173-199 (2020). MSC: 90C15 65C35 PDFBibTeX XMLCite \textit{W. van Ackooij} and \textit{X. Warin}, EURO J. Comput. Optim. 8, No. 2, 173--199 (2020; Zbl 1441.90111) Full Text: DOI arXiv
Gobet, Emmanuel; Pimentel, Isaque; Warin, Xavier Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations. (English) Zbl 1447.91173 Finance Stoch. 24, No. 3, 633-675 (2020). Reviewer: George Stoica (Saint John) MSC: 91G20 35Q91 91G80 91G60 PDFBibTeX XMLCite \textit{E. Gobet} et al., Finance Stoch. 24, No. 3, 633--675 (2020; Zbl 1447.91173) Full Text: DOI HAL
Sghir, Aissa; Hadiri, Sokaina A new numerical method for 1-D backward stochastic differential equations without using conditional expectations. (English) Zbl 1461.60042 Random Oper. Stoch. Equ. 28, No. 2, 79-91 (2020). Reviewer: Melvin D. Lax (Long Beach) MSC: 60H10 60H30 60H35 PDFBibTeX XMLCite \textit{A. Sghir} and \textit{S. Hadiri}, Random Oper. Stoch. Equ. 28, No. 2, 79--91 (2020; Zbl 1461.60042) Full Text: DOI
Agarwal, Ankush; Claisse, Julien Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method. (English) Zbl 1440.35125 Stochastic Processes Appl. 130, No. 8, 5006-5036 (2020). MSC: 35J61 60H30 60J85 65C05 PDFBibTeX XMLCite \textit{A. Agarwal} and \textit{J. Claisse}, Stochastic Processes Appl. 130, No. 8, 5006--5036 (2020; Zbl 1440.35125) Full Text: DOI arXiv
Hinz, Juri; Tarnopolskaya, Tanya; Yee, Jeremy Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations. (English) Zbl 1437.91145 Ann. Oper. Res. 286, No. 1-2, 583-615 (2020). MSC: 91B06 91G50 90C39 90C40 PDFBibTeX XMLCite \textit{J. Hinz} et al., Ann. Oper. Res. 286, No. 1--2, 583--615 (2020; Zbl 1437.91145) Full Text: DOI
Hu, Yaozhong; Nualart, David; Song, Xiaoming An implicit numerical scheme for a class of backward doubly stochastic differential equations. (English) Zbl 1467.60040 Stochastic Processes Appl. 130, No. 6, 3295-3324 (2020). Reviewer: Nikolaos Halidias (Athína) MSC: 60H10 60H07 60H05 60H35 PDFBibTeX XMLCite \textit{Y. Hu} et al., Stochastic Processes Appl. 130, No. 6, 3295--3324 (2020; Zbl 1467.60040) Full Text: DOI arXiv
Picarelli, Athena; Reisinger, Christoph Probabilistic error analysis for some approximation schemes to optimal control problems. (English) Zbl 1441.93347 Syst. Control Lett. 137, Article ID 104619, 11 p. (2020). MSC: 93E20 93B70 60J28 PDFBibTeX XMLCite \textit{A. Picarelli} and \textit{C. Reisinger}, Syst. Control Lett. 137, Article ID 104619, 11 p. (2020; Zbl 1441.93347) Full Text: DOI arXiv
Chassagneux, Jean-Francois; Trillos, Camilo A. Garcia Cubature method to solve BSDEs: error expansion and complexity control. (English) Zbl 07188542 Math. Comput. 89, No. 324, 1895-1932 (2020). MSC: 65C30 60H35 65D32 PDFBibTeX XMLCite \textit{J.-F. Chassagneux} and \textit{C. A. G. Trillos}, Math. Comput. 89, No. 324, 1895--1932 (2020; Zbl 07188542) Full Text: DOI arXiv
Huré, Côme; Pham, Huyên; Warin, Xavier Deep backward schemes for high-dimensional nonlinear PDEs. (English) Zbl 1440.60063 Math. Comput. 89, No. 324, 1547-1579 (2020). MSC: 60H35 65C20 65M12 PDFBibTeX XMLCite \textit{C. Huré} et al., Math. Comput. 89, No. 324, 1547--1579 (2020; Zbl 1440.60063) Full Text: DOI arXiv
Bachouch, Achref; Matoussi, Anis \( L^2\)-regularity result for solutions of backward doubly stochastic differential equations. (English) Zbl 1505.60060 Stoch. Dyn. 20, No. 2, Article ID 2050012, 25 p. (2020). MSC: 60H10 65C30 PDFBibTeX XMLCite \textit{A. Bachouch} and \textit{A. Matoussi}, Stoch. Dyn. 20, No. 2, Article ID 2050012, 25 p. (2020; Zbl 1505.60060) Full Text: DOI
Teng, Long; Lapitckii, Aleksandr; Günther, Michael A multi-step scheme based on cubic spline for solving backward stochastic differential equations. (English) Zbl 1433.60041 Appl. Numer. Math. 150, 117-138 (2020). MSC: 60H10 60H30 65C30 PDFBibTeX XMLCite \textit{L. Teng} et al., Appl. Numer. Math. 150, 117--138 (2020; Zbl 1433.60041) Full Text: DOI arXiv
Balter, Anne G.; Pelsser, Antoon Pricing and hedging in incomplete markets with model uncertainty. (English) Zbl 1431.91351 Eur. J. Oper. Res. 282, No. 3, 911-925 (2020). MSC: 91G10 91G20 93E20 PDFBibTeX XMLCite \textit{A. G. Balter} and \textit{A. Pelsser}, Eur. J. Oper. Res. 282, No. 3, 911--925 (2020; Zbl 1431.91351) Full Text: DOI
Geiss, Christel; Labart, Céline; Luoto, Antti Random walk approximation of BSDEs with Hölder continuous terminal condition. (English) Zbl 1433.60033 Bernoulli 26, No. 1, 159-190 (2020). MSC: 60H10 65C30 60H30 65C05 PDFBibTeX XMLCite \textit{C. Geiss} et al., Bernoulli 26, No. 1, 159--190 (2020; Zbl 1433.60033) Full Text: DOI arXiv Euclid
Cohen, Samuel N.; Tegnér, Martin European option pricing with stochastic volatility models under parameter uncertainty. (English) Zbl 1498.91432 Cohen, Samuel N. (ed.) et al., Frontiers in stochastic analysis – BSDEs, SPDEs and their applications. International workshop on BSDEs, SPDEs and their applications, Edinburgh, UK, July 3–7, 2017. Selected, revised and extended contributions. Cham: Springer. Springer Proc. Math. Stat. 289, 123-167 (2019). MSC: 91G20 60H30 PDFBibTeX XMLCite \textit{S. N. Cohen} and \textit{M. Tegnér}, Springer Proc. Math. Stat. 289, 123--167 (2019; Zbl 1498.91432) Full Text: DOI arXiv
Fujii, Masaaki; Takahashi, Akihiko Asymptotic expansion for forward-backward SDEs with jumps. (English) Zbl 1500.60031 Stochastics 91, No. 2, 175-214 (2019). MSC: 60H10 PDFBibTeX XMLCite \textit{M. Fujii} and \textit{A. Takahashi}, Stochastics 91, No. 2, 175--214 (2019; Zbl 1500.60031) Full Text: DOI arXiv
Chau, Ki Wai; Oosterlee, Cornelis W. Stochastic grid bundling method for backward stochastic differential equations. (English) Zbl 1499.91165 Int. J. Comput. Math. 96, No. 11, 2272-2301 (2019). MSC: 91G60 65C30 91G20 60H35 PDFBibTeX XMLCite \textit{K. W. Chau} and \textit{C. W. Oosterlee}, Int. J. Comput. Math. 96, No. 11, 2272--2301 (2019; Zbl 1499.91165) Full Text: DOI arXiv
Blanchet-Scalliet, Christophette; Dorobantu, Diana; Salhi, Yahia A model-point approach to indifference pricing of life insurance portfolios with dependent lives. (English) Zbl 1429.91276 Methodol. Comput. Appl. Probab. 21, No. 2, 423-448 (2019). MSC: 91G05 62P05 60H10 PDFBibTeX XMLCite \textit{C. Blanchet-Scalliet} et al., Methodol. Comput. Appl. Probab. 21, No. 2, 423--448 (2019; Zbl 1429.91276) Full Text: DOI HAL
Ninomiya, Syoiti; Shinozaki, Yuji Higher-order discretization methods of forward-backward SDEs using KLNV-scheme and their applications to XVA pricing. (English) Zbl 1426.91273 Appl. Math. Finance 26, No. 3, 257-292 (2019). MSC: 91G20 60H10 91G60 PDFBibTeX XMLCite \textit{S. Ninomiya} and \textit{Y. Shinozaki}, Appl. Math. Finance 26, No. 3, 257--292 (2019; Zbl 1426.91273) Full Text: DOI
Fujii, Masaaki; Takahashi, Akihiko; Takahashi, Masayuki Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs. (English) Zbl 1422.91694 Asia-Pac. Financ. Mark. 26, No. 3, 391-408 (2019). MSC: 91G20 60G40 60H10 68T05 41A60 PDFBibTeX XMLCite \textit{M. Fujii} et al., Asia-Pac. Financ. Mark. 26, No. 3, 391--408 (2019; Zbl 1422.91694) Full Text: DOI arXiv
Beck, Christian; E, Weinan; Jentzen, Arnulf Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations. (English) Zbl 1442.91116 J. Nonlinear Sci. 29, No. 4, 1563-1619 (2019). MSC: 91G60 65M75 91G20 60H15 35Q91 PDFBibTeX XMLCite \textit{C. Beck} et al., J. Nonlinear Sci. 29, No. 4, 1563--1619 (2019; Zbl 1442.91116) Full Text: DOI arXiv
Hartmann, Carsten; Kebiri, Omar; Neureither, Lara; Richter, Lorenz Variational approach to rare event simulation using least-squares regression. (English) Zbl 1421.62009 Chaos 29, No. 6, 063107, 16 p. (2019). MSC: 62D05 93E20 62J05 PDFBibTeX XMLCite \textit{C. Hartmann} et al., Chaos 29, No. 6, 063107, 16 p. (2019; Zbl 1421.62009) Full Text: DOI arXiv
Prohl, Andreas; Schellnegger, Christian Adaptive concepts for stochastic partial differential equations. (English) Zbl 1418.60084 J. Sci. Comput. 80, No. 1, 444-474 (2019). MSC: 60H15 65C05 62G07 62G09 PDFBibTeX XMLCite \textit{A. Prohl} and \textit{C. Schellnegger}, J. Sci. Comput. 80, No. 1, 444--474 (2019; Zbl 1418.60084) Full Text: DOI
Chan-Wai-Nam, Quentin; Mikael, Joseph; Warin, Xavier Machine learning for semi linear PDEs. (English) Zbl 1433.68332 J. Sci. Comput. 79, No. 3, 1667-1712 (2019). MSC: 68T05 65C05 65M99 68T07 PDFBibTeX XMLCite \textit{Q. Chan-Wai-Nam} et al., J. Sci. Comput. 79, No. 3, 1667--1712 (2019; Zbl 1433.68332) Full Text: DOI arXiv
E, Weinan; Hutzenthaler, Martin; Jentzen, Arnulf; Kruse, Thomas On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations. (English) Zbl 1418.65149 J. Sci. Comput. 79, No. 3, 1534-1571 (2019). MSC: 65M75 65C05 91G60 PDFBibTeX XMLCite \textit{W. E} et al., J. Sci. Comput. 79, No. 3, 1534--1571 (2019; Zbl 1418.65149) Full Text: DOI arXiv
Bouchard, Bruno; Tan, Xiaolu; Warin, Xavier Numerical approximation of general Lipschitz BSDEs with branching processes. (English. French summary) Zbl 1416.60070 ESAIM, Proc. Surv. 65, 309-329 (2019). MSC: 60H35 60H10 60J80 65C05 PDFBibTeX XMLCite \textit{B. Bouchard} et al., ESAIM, Proc. Surv. 65, 309--329 (2019; Zbl 1416.60070) Full Text: DOI arXiv
Fujii, Masaaki; Takahashi, Akihiko Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions. (English) Zbl 1426.60072 Stochastic Processes Appl. 129, No. 5, 1492-1532 (2019). MSC: 60H10 PDFBibTeX XMLCite \textit{M. Fujii} and \textit{A. Takahashi}, Stochastic Processes Appl. 129, No. 5, 1492--1532 (2019; Zbl 1426.60072) Full Text: DOI arXiv
Dunst, Thomas; Majee, Ananta K.; Prohl, Andreas; Vallet, Guy On stochastic optimal control in ferromagnetism. (English) Zbl 1419.82072 Arch. Ration. Mech. Anal. 233, No. 3, 1383-1440 (2019). MSC: 82D40 65N30 35R60 35R09 93C20 93E20 60H35 65C30 65C05 PDFBibTeX XMLCite \textit{T. Dunst} et al., Arch. Ration. Mech. Anal. 233, No. 3, 1383--1440 (2019; Zbl 1419.82072) Full Text: DOI
Pelsser, Antoon; Gnameho, Kossi A Monte Carlo method for backward stochastic differential equations with Hermite martingales. (English) Zbl 07061108 Monte Carlo Methods Appl. 25, No. 1, 37-60 (2019). MSC: 65C05 65C40 60H10 PDFBibTeX XMLCite \textit{A. Pelsser} and \textit{K. Gnameho}, Monte Carlo Methods Appl. 25, No. 1, 37--60 (2019; Zbl 07061108) Full Text: DOI
Warin, Xavier Nesting Monte Carlo for high-dimensional non-linear PDEs. (English) Zbl 07008421 Monte Carlo Methods Appl. 24, No. 4, 225-247 (2018). MSC: 65C05 49L25 PDFBibTeX XMLCite \textit{X. Warin}, Monte Carlo Methods Appl. 24, No. 4, 225--247 (2018; Zbl 07008421) Full Text: DOI arXiv
Abbas-Turki, Lokman A.; Crépey, Stéphane; Diallo, Babacar XVA principles, nested Monte Carlo strategies, and GPU optimizations. (English) Zbl 1416.91398 Int. J. Theor. Appl. Finance 21, No. 6, Article ID 1850030, 40 p. (2018). MSC: 91G60 65C05 91-04 91-08 PDFBibTeX XMLCite \textit{L. A. Abbas-Turki} et al., Int. J. Theor. Appl. Finance 21, No. 6, Article ID 1850030, 40 p. (2018; Zbl 1416.91398) Full Text: DOI
Le Cavil, Anthony; Oudjane, Nadia; Russo, Francesco Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations. (English) Zbl 1390.60211 Monte Carlo Methods Appl. 24, No. 1, 55-70 (2018). MSC: 60H10 60H30 60J60 65C05 65C35 68U20 35K58 PDFBibTeX XMLCite \textit{A. Le Cavil} et al., Monte Carlo Methods Appl. 24, No. 1, 55--70 (2018; Zbl 1390.60211) Full Text: DOI arXiv
Zanger, Daniel Z. Convergence of a least-squares Monte Carlo algorithm for American option pricing with dependent sample data. (English) Zbl 1403.91354 Math. Finance 28, No. 1, 447-479 (2018). MSC: 91G20 60G40 62J05 62P05 PDFBibTeX XMLCite \textit{D. Z. Zanger}, Math. Finance 28, No. 1, 447--479 (2018; Zbl 1403.91354) Full Text: DOI
Dunst, Thomas; Prohl, Andreas Stochastic optimal control of finite ensembles of nanomagnets. (English) Zbl 06858877 J. Sci. Comput. 74, No. 2, 872-894 (2018). MSC: 65-XX PDFBibTeX XMLCite \textit{T. Dunst} and \textit{A. Prohl}, J. Sci. Comput. 74, No. 2, 872--894 (2018; Zbl 06858877) Full Text: DOI