A PRIMAL-DUAL ALGORITHM FOR BSDES-Reference-Cited by-同舟云学术

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A PRIMAL-DUAL ALGORITHM FOR BSDES

Published:2015-06-26 Issue:3 Volume:27 Page:866-901
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Bender Christian¹,Schweizer Nikolaus¹,Zhuo Jia²

Affiliation:

1. Saarland University

2. University of Southern California

Funder

Deutsche Forschungsgemeinschaft

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12100/fullpdf

Reference45 articles.

1. Reducing Variance in the Numerical Solution of BSDEs;Alanko;C. R. Math. Acad. Sci. Paris,2013

2. A Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options;Andersen;Manage. Sci,2004

3. A Quantization Algorithm for Solving Multidimensional Discrete-Time Optimal Stopping Problems;Bally;Bernoulli,2003

4. Pricing Bermudan Options by Nonparametric Regression: Optimal Rates of Convergence for Lower Estimates;Belomestny;Finance Stoch,2011

5. Solving Optimal Stopping Problems via Empirical Dual Optimization;Belomestny;Ann. Appl. Probab,2013

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1. Robust Multiple Stopping—A Duality Approach;Mathematics of Operations Research;2024-05-15

2. Numerical approximation based on deep convolutional neural network for high‐dimensional fully nonlinear merged PDEs and 2BSDEs;Mathematical Methods in the Applied Sciences;2024-01-24

3. Recent developments in machine learning methods for stochastic control and games;Numerical Algebra, Control and Optimization;2024

4. Deep PDE solution to BSDE;Digital Finance;2023-11-18

5. A posteriori error estimates for fully coupled McKean–Vlasov forward-backward SDEs;IMA Journal of Numerical Analysis;2023-09-15

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