Han, Qiang; Ji, Shaolin A multi-step algorithm for BSDEs based on a predictor-corrector scheme and least-squares Monte Carlo. (English) Zbl 1505.65002 Methodol. Comput. Appl. Probab. 24, No. 4, 2403-2426 (2022). MSC: 65C05 60H35 PDFBibTeX XMLCite \textit{Q. Han} and \textit{S. Ji}, Methodol. Comput. Appl. Probab. 24, No. 4, 2403--2426 (2022; Zbl 1505.65002) Full Text: DOI
Ge, Yingming; Li, Lingfei; Zhang, Gongqiu A Fourier transform method for solving backward stochastic differential equations. (English) Zbl 1487.65008 Methodol. Comput. Appl. Probab. 24, No. 1, 385-412 (2022). MSC: 65C30 60H35 65T50 91G20 91G60 PDFBibTeX XMLCite \textit{Y. Ge} et al., Methodol. Comput. Appl. Probab. 24, No. 1, 385--412 (2022; Zbl 1487.65008) Full Text: DOI
Simard, Clarence; Rémillard, Bruno Pricing European options in a discrete time model for the limit order book. (English) Zbl 1430.91115 Methodol. Comput. Appl. Probab. 21, No. 3, 985-1005 (2019). MSC: 91G20 91G10 PDFBibTeX XMLCite \textit{C. Simard} and \textit{B. Rémillard}, Methodol. Comput. Appl. Probab. 21, No. 3, 985--1005 (2019; Zbl 1430.91115) Full Text: DOI
Hyndman, Cody B.; Ngou, Polynice Oyono A convolution method for numerical solution of backward stochastic differential equations. (English) Zbl 1360.60109 Methodol. Comput. Appl. Probab. 19, No. 1, 1-29 (2017). MSC: 60H10 60H35 65C30 60H30 91G80 91G60 PDFBibTeX XMLCite \textit{C. B. Hyndman} and \textit{P. O. Ngou}, Methodol. Comput. Appl. Probab. 19, No. 1, 1--29 (2017; Zbl 1360.60109) Full Text: DOI arXiv
Dong, Yinghui; Yuen, Kam C.; Wang, Guojing; Wu, Chongfeng A reduced-form model for correlated defaults with regime-switching shot noise intensities. (English) Zbl 1343.60117 Methodol. Comput. Appl. Probab. 18, No. 2, 459-486 (2016). MSC: 60J28 60J27 60H30 60H10 60G55 91G40 91G80 60G46 PDFBibTeX XMLCite \textit{Y. Dong} et al., Methodol. Comput. Appl. Probab. 18, No. 2, 459--486 (2016; Zbl 1343.60117) Full Text: DOI