24 citations · 26 across the 29 of their papers we have counts for
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math.NA2025
An Euler scheme for BSDEs via the Wiener chaos decomposition
Pere Diaz-Lozano, Giulia Di Nunno
The Euler scheme is a standard time discretization for BSDEs, but its implementation hinges on approximating conditional expectations and the associated martingale terms at each ti…
math.NA2024
Deep Operator BSDE: a Numerical Scheme to Approximate Solution Operators
Pere Diaz-Lozano, Giulia Di Nunno
Motivated by dynamic risk measures and conditional -expectations, in this work we propose a numerical method to approximate the solution operator given by a Backward Stochastic…
math.NA2021
SPDE bridges with observation noise and their spatial approximation
Giulia Di Nunno, Salvador Ortiz-Latorre, Andreas Petersson
This paper introduces SPDE bridges with observation noise and contains an analysis of their spatially semidiscrete approximations. The SPDEs are considered in the form of mild solu…