DOIAbstract
We introduce a forward scheme to simulate backward SDEs and analyze the error of the scheme. Finally, we demonstrate the strength of the new algorithm by solving some financial problems numerically
We introduce a forward scheme to simulate backward SDEs and analyze the error of the scheme. Finally, we demonstrate the strength of the new algorithm by solving some financial problems numerically
This paper aims to open a door to Monte-Carlo methods for numerically solving Forward-Backward SDEs,...
In this work, we apply the Stochastic Grid Bundling Method (SGBM) to numerically solve backward stoc...
International audienceWe present a parallel algorithm for solving backward stochastic differential e...
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 demonstrate the strength of the new algo...
We introduce a forward scheme to simulate backward SDEs and demonstrate the strength of the new algo...
We study the problem'bfthe numerical solution to BSDEs from a weak approximation viewpoint. The firs...
This article deals with the numerical resolution of backward stochastic differential equations. Firs...
In this thesis, we provide convergent numerical solutions to non-linear forward-BSDEs (Backward Stoc...
Many option pricing and portfolio selection problems in mathematical finance can be reformulated in ...
This thesis deals with the approximation of backward stochastic differential equations (BSDE) using ...
The main aims of this research are to study various numerical schemes in the approximation of the oc...
We develop a Fourier method to solve quite general backward stochastic differential equa-tions (BSDE...
This paper aims to open a door to Monte-Carlo methods for numerically solving Forward-Backward SDEs,...
In this work, we apply the Stochastic Grid Bundling Method (SGBM) to numerically solve backward stoc...
International audienceWe present a parallel algorithm for solving backward stochastic differential e...
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 demonstrate the strength of the new algo...
We introduce a forward scheme to simulate backward SDEs and demonstrate the strength of the new algo...
We study the problem'bfthe numerical solution to BSDEs from a weak approximation viewpoint. The firs...
This article deals with the numerical resolution of backward stochastic differential equations. Firs...
In this thesis, we provide convergent numerical solutions to non-linear forward-BSDEs (Backward Stoc...
Many option pricing and portfolio selection problems in mathematical finance can be reformulated in ...
This thesis deals with the approximation of backward stochastic differential equations (BSDE) using ...
The main aims of this research are to study various numerical schemes in the approximation of the oc...
We develop a Fourier method to solve quite general backward stochastic differential equa-tions (BSDE...
This paper aims to open a door to Monte-Carlo methods for numerically solving Forward-Backward SDEs,...
In this work, we apply the Stochastic Grid Bundling Method (SGBM) to numerically solve backward stoc...
International audienceWe present a parallel algorithm for solving backward stochastic differential e...
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