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A Primal–Dual Algorithm For Bsdes

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  • Christian Bender
  • Nikolaus Schweizer
  • Jia Zhuo

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  • Christian Bender & Nikolaus Schweizer & Jia Zhuo, 2017. "A Primal–Dual Algorithm For Bsdes," Mathematical Finance, Wiley Blackwell, vol. 27(3), pages 866-901, July.
    • Handle: RePEc:bla:mathfi:v:27:y:2017:i:3:p:866-901
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    File URL: http://hdl.handle.net/10.1111/mafi.2017.27.issue-3
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    Cited by:

    1. Teng, Long, 2022. "Gradient boosting-based numerical methods for high-dimensional backward stochastic differential equations," Applied Mathematics and Computation, Elsevier, vol. 426(C).
    2. Roger J. A. Laeven & John G. M. Schoenmakers & Nikolaus F. F. Schweizer & Mitja Stadje, 2020. "Robust Multiple Stopping -- A Pathwise Duality Approach," Papers 2006.01802, arXiv.org, revised Sep 2021.
    3. Christian Bender & Christian Gärtner & Nikolaus Schweizer, 2018. "Pathwise Dynamic Programming," Mathematics of Operations Research, INFORMS, vol. 43(3), pages 965-965, August.
    4. Volker Krätschmer & Marcel Ladkau & Roger J. A. Laeven & John G. M. Schoenmakers & Mitja Stadje, 2018. "Optimal Stopping Under Uncertainty in Drift and Jump Intensity," Mathematics of Operations Research, INFORMS, vol. 43(4), pages 1177-1209, November.
    5. Ariel Neufeld & Philipp Schmocker & Sizhou Wu, 2024. "Full error analysis of the random deep splitting method for nonlinear parabolic PDEs and PIDEs," Papers 2405.05192, arXiv.org, revised Sep 2024.
    6. Sebastian Becker & Patrick Cheridito & Arnulf Jentzen & Timo Welti, 2019. "Solving high-dimensional optimal stopping problems using deep learning," Papers 1908.01602, arXiv.org, revised Aug 2021.

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