Search Results - subject:"backward stochastic differential equations"

A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver

Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021

Persistent link: https://www.econbiz.de/10012813680

A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver

Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021 - Revised in August, November 2021, January and February 2022

Persistent link: https://www.econbiz.de/10013335002

Supplementary file for "sup-inf/inf-sup problem on choice of a probability measure by FBSDE approach"

Saito, Taiga; Takahashi, Akihiko - 2021 - Revised in March 2021

Persistent link: https://www.econbiz.de/10013335007

Epstein-Zin utility maximization on a random horizon

Aurand, Joshua; Huang, Yu-Jui - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1370-1411

Persistent link: https://www.econbiz.de/10014370670

Numerical algorithms for reflected anticipated backward stochastic differential equations with two obstacles and default risk

Wang, Jingnan; Korn, Ralf - In: Risks 8 (2020) 3, pp. 1-30

We study numerical algorithms for reflected anticipated backward stochastic differential equations (RABSDEs) driven by …

Persistent link: https://www.econbiz.de/10013200605

A deep neural network algorithm for semilinear elliptic PDEs with applications in insurance mathematics

Kremsner, Stefan; Steinicke, Alexander; Szölgyenyi, … - In: Risks 8 (2020) 4, pp. 1-18

partial differential equations to backward stochastic differential equations with unbounded random terminal time. In … particular, backward stochastic differential equations-which can be identified with solutions of elliptic partial differential …

Persistent link: https://www.econbiz.de/10013200669

A deep neural network algorithm for semilinear elliptic PDEs with applications in insurance mathematics

Kremsner, Stefan; Steinicke, Alexander; Szölgyenyi, … - In: Risks : open access journal 8 (2020) 4/136, pp. 1-18

Persistent link: https://www.econbiz.de/10012391761

Numerical algorithms for reflected anticipated backward stochastic differential equations with two obstacles and default risk

Wang, Jingnan; Korn, Ralf - In: Risks : open access journal 8 (2020) 3/72, pp. 1-30

We study numerical algorithms for reflected anticipated backward stochastic differential equations (RABSDEs) driven by …

Persistent link: https://www.econbiz.de/10012293131

Infinite horizon stochastic impulse control with delay and random coefficients

Djehiche, Boualem; Hamadène, Said; Hdhiri, Ibtissem; … - In: Mathematics of operations research 47 (2022) 1, pp. 665-689

Persistent link: https://www.econbiz.de/10013364931

Doubly reflected BSDEs and epsilon f-Dynkin games: Beyond the right-continuous case

Grigorova, Miryana; Imkeller, Peter; Quenez, Marie-Claire; … - 2018

We formulate a notion of doubly reflected BSDE in the case where the barriers xi and zeta do not satisfy any regularity assumption. Under a technical assumption (a Mokobodzki-type condition), we show existence and uniqueness of the solution. In the case where xi is right upper-semicontinuous and...

Persistent link: https://www.econbiz.de/10012042137