Add to ORKGWe introduce a forward scheme to simulate backward SDEs and demonstrate the strength of the new algorithm by solving some financial problems numerically.
In this thesis, we provide convergent numerical solutions to non-linear forward-BSDEs (Backward Stoc...
Das zentrale Thema dieser Arbeit sind vollständig gekoppelte reflektierte Vorwärts-Rückwärts-Stochas...
This paper gives a review of numerical methods for solving the BSDEs, especially, finite difference ...
We introduce a forward scheme to simulate backward SDEs and demonstrate the strength of the new algo...
AbstractWe introduce a forward scheme for simulating backward SDEs. Compared to existing schemes, ou...
We introduce a forward scheme for simulating backward SDEs. Compared to existing schemes, ours avoid...
We introduce a forward scheme to simulate backward SDEs. Compared to existing schemes, we avoid high...
We introduce a forward scheme to simulate backward SDEs and analyze the error of the scheme. Finally...
The main aims of this research are to study various numerical schemes in the approximation of the oc...
Many option pricing and portfolio selection problems in mathematical finance can be reformulated in ...
This thesis starts by discussing the foundations of mathematical finance and some theoretical result...
We develop a Fourier method to solve quite general backward stochastic differential equa-tions (BSDE...
We introduce a novel numerical approach for a class of stochastic dynamic programs which arise as di...
This paper proposes a new closed-form approximation scheme for the forward-backward stochastic diffe...
In this paper we explain how the importance sampling technique can be generalized from simulating ex...
In this thesis, we provide convergent numerical solutions to non-linear forward-BSDEs (Backward Stoc...
Das zentrale Thema dieser Arbeit sind vollständig gekoppelte reflektierte Vorwärts-Rückwärts-Stochas...
This paper gives a review of numerical methods for solving the BSDEs, especially, finite difference ...
We introduce a forward scheme to simulate backward SDEs and demonstrate the strength of the new algo...
AbstractWe introduce a forward scheme for simulating backward SDEs. Compared to existing schemes, ou...
We introduce a forward scheme for simulating backward SDEs. Compared to existing schemes, ours avoid...
We introduce a forward scheme to simulate backward SDEs. Compared to existing schemes, we avoid high...
We introduce a forward scheme to simulate backward SDEs and analyze the error of the scheme. Finally...
The main aims of this research are to study various numerical schemes in the approximation of the oc...
Many option pricing and portfolio selection problems in mathematical finance can be reformulated in ...
This thesis starts by discussing the foundations of mathematical finance and some theoretical result...
We develop a Fourier method to solve quite general backward stochastic differential equa-tions (BSDE...
We introduce a novel numerical approach for a class of stochastic dynamic programs which arise as di...
This paper proposes a new closed-form approximation scheme for the forward-backward stochastic diffe...
In this paper we explain how the importance sampling technique can be generalized from simulating ex...
In this thesis, we provide convergent numerical solutions to non-linear forward-BSDEs (Backward Stoc...
Das zentrale Thema dieser Arbeit sind vollständig gekoppelte reflektierte Vorwärts-Rückwärts-Stochas...
This paper gives a review of numerical methods for solving the BSDEs, especially, finite difference ...