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20182025
most citedMultilevel Picard approximations for high-dimensional decoupled forward-backward stochastic differential equations

2 citations · 5 across the 7 of their papers we have counts for

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math.PR2022★ 2 cited

Multilevel Picard approximations for high-dimensional decoupled forward-backward stochastic differential equations

Martin Hutzenthaler, Tuan Anh Nguyen

Backward stochastic differential equations (BSDEs) appear in numeruous applications. Classical approximation methods suffer from the curse of dimensionality and deep learning-based…