84 citations · 138 across the 17 of their papers we have counts for
5 papers · 1 filter
A path-dependent stochastic Gronwall inequality and strong convergence rate for stochastic functional differential equations
Martin Hutzenthaler, Tuan Anh Nguyen
We derive a stochastic Gronwall lemma with suprema over the paths in the upper bound of the assumed affine-linear growth assumption. This allows applications to Itô processes with…
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…
On the speed of convergence of Picard iterations of backward stochastic differential equations
Martin Hutzenthaler, Thomas Kruse, Tuan Anh Nguyen
It is a well-established fact in the scientific literature that Picard iterations of backward stochastic differential equations with globally Lipschitz continuous nonlinearity conv…
Multilevel Picard approximations for McKean-Vlasov stochastic differential equations
Martin Hutzenthaler, Thomas Kruse, Tuan Anh Nguyen
In the literatur there exist approximation methods for McKean-Vlasov stochastic differential equations which have a computational effort of order . In this article we introduce…
Quenched invariance principles for the random conductance model on a random graph with degenerate ergodic weights
Jean-Dominique Deuschel, Tuan Anh Nguyen, Martin Slowik
We consider a stationary and ergodic random field that is parameterized by the edge set of the Euclidean lattice , . The random varia…