375 citations · 608 across the 47 of their papers we have counts for
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Parallel-in-Time Iterative Methods for Pricing American Options
Xian-Ming Gu, Jun Liu, Cornelis W. Oosterlee
For pricing American options, %after suitable discretization in space and time, a sequence of discrete linear complementarity problems (LCPs) or equivalently Hamilton-Jacobi-Bellma…
Generalized convergence of the deep BSDE method: a step towards fully-coupled FBSDEs and applications in stochastic control
Balint Negyesi, Zhipeng Huang, Cornelis W. Oosterlee
We are concerned with high-dimensional coupled FBSDE systems approximated by the deep BSDE method of Han et al. (2018). It was shown by Han and Long (2020) that the errors induced…
A Generalized Block Circulant Preconditioner for Crank-Nicolson All-at-Once Systems with Applications to Option Pricing PDEs
Yong-Liang Zhao, Yao Li, Xian-Ming Gu +1
The Crank--Nicolson (CN) method is a widely used time integration scheme for evolutionary partial differential equations (PDEs) arising in various scientific and engineering discip…