A fully quantization-based scheme for FBSDEs
نویسندگان
چکیده
We propose a quantization-based numerical scheme for family of decoupled forward-backward stochastic differential equations. simplify the control in [1] so that our approach is fully based on recursive marginal quantization and does not involve any Monte Carlo simulation computation conditional expectations. analyse detail error provide some examples application to financial mathematics.
منابع مشابه
A Multilevel Energy-based Quantization Scheme
A vector quantizer maps N -dimensional vectors in the domain Ω ⊂ R into a finite set of vectors {zi}i=1 . Each vector zi is called a code vector or a codeword, and the set of all the codewords is called a codebook. A special, yet popular, quantization scheme is given by the Voronoi tessellation associated with some codewords {zi} , also called generators. A Voronoi tessellation for the given ge...
متن کاملImproved Security for a Ring-Based Fully Homomorphic Encryption Scheme
In 1996, Hoffstein, Pipher and Silverman introduced an efficient lattice based encryption scheme dubbed NTRUEncrypt. Unfortunately, this scheme lacks a proof of security. However, in 2011, Stehlé and Steinfeld showed how to modify NTRUEncrypt to reduce security to standard problems in ideal lattices. In 2012, López-Alt, Tromer and Vaikuntanathan proposed a fully homomorphic scheme based on this...
متن کاملA Novel Flux-Based Protection Scheme for Power Transformers
Internal Turn-Turn faults (TTF) are the most common failures in power transformers, which could seriously reduce their life expectancy. Although common protection schemes such as current-baseddifferential protection are able to detect some of the internal faults, some other minor ones (such as TTFs andshort circuit near the neutral point) cannot be detected by such schemes. Likewise, these rela...
متن کاملA Genetic Programming-based Scheme for Solving Fuzzy Differential Equations
This paper deals with a new approach for solving fuzzy differential equations based on genetic programming. This method produces some trial solutions and seeks the best of them. If the solution cannot be expressed in a closed analytical form then our method produces an approximation with a controlled level of accuracy. Furthermore, the numerical results reveal the potential of the proposed appr...
متن کاملWavelet Based Lattice Vector Quantization Scheme for Multiple Description System
Recent years have witnessed the increase in demand for fast, efficient, and high quality multimedia communication applications over the wired and wireless networks. The constraint in bandwidth has paved the way for researchers to embark their efforts in finding efficient compression techniques for image and video. The demand for high quality of data communication has open up the research area i...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Mathematics and Computation
سال: 2023
ISSN: ['1873-5649', '0096-3003']
DOI: https://doi.org/10.1016/j.amc.2022.127666