most citedNeural SDEs for Conditional Time Series Generation and the Signature-Wasserstein-1 metric

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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…