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20202026
most citedD-TIPO: Deep time-inconsistent portfolio optimization with stocks and options

2 citations · 6 across the 7 of their papers we have counts for

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math.NA2021★ 2 cited

The One Step Malliavin scheme: new discretization of BSDEs implemented with deep learning regressions

Balint Negyesi, Kristoffer Andersson, Cornelis W. Oosterlee

A novel discretization is presented for forward-backward stochastic differential equations (FBSDE) with differentiable coefficients, simultaneously solving the BSDE and its Malliav…