79 citations · 228 across the 17 of their papers we have counts for
22 papers
A Deep BSDE Method for a Class of Strongly Coupled FBSDEs
Christian Bender, Benedikt Simon Flierl
We investigate a variant of the deep BSDE method introduced by E et al. (2017, 2018). The key novelty is that we establish an a-posteriori convergence result for the approximation…
A segment-wise dynamic programming algorithm for BSDEs
Christian Bender, Steffen Meyer
We introduce and analyze a family of linear least-squares Monte Carlo schemes for backward SDEs, which interpolate between the one-step dynamic programming scheme of Lemor, Warin,…
Subordination principle and Feynman-Kac formulae for generalized time-fractional evolution equations
Christian Bender, Marie Bormann, Yana A. Butko
We consider generalized time-fractional evolution equations of the form with a fairly general memory kernel and an operator being the gen…
Conditional Non-Lattice Integration, Pricing and Superhedging
Christian Bender, Sebastian E. Ferrando, Alfredo L. Gonzalez
Closely motivated by financial considerations, we develop an integration theory which is not classical i.e. it is not necessarily associated to a measure. The base space, denoted b…
Model-Free Finance and Non-Lattice Integration
Christian Bender, Sebastian Ferrando, Alfredo Gonzalez
Starting solely with a set of possible prices for a traded asset (in infinite discrete time) expressed in units of a numeraire, we explain how to construct a Daniell type of in…
`Regression Anytime' with Brute-Force SVD Truncation
Christian Bender, Nikolaus Schweizer
We propose a new least-squares Monte Carlo algorithm for the approximation of conditional expectations in the presence of stochastic derivative weights. The algorithm can serve as…