79 citations · 228 across the 17 of their papers we have counts for
12 papers · 1 filter
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…
Ito's Formula for Gaussian Processes with Stochastic Discontinuities
Christian Bender
We introduce a Skorokhod type integral and prove an Ito formula for a wide class of Gaussian processes which may exhibit stochastic discontinuities. Our Ito formula unifies and ext…
Discretizing Malliavin calculus
Christian Bender, Peter Parczewski
Suppose is a Brownian motion and is an approximating sequence of rescaled random walks on the same probability space converging to pointwise in probability. We provid…