Quantum-accelerated MLMC methods for BDSDE-based SPDE derivative pricing and Greeks achieve sampling complexity improvement from O(ε^{-2}) to O(ε^{-1}).
A Numerical scheme for backward doubly stochastic differential equations
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
abstract
In this paper we propose a numerical scheme for the class of backward doubly stochastic (BDSDEs) with possible path-dependent terminal values. We prove that our scheme converge in the strong $L^2$-sense and derive its rate of convergence. As an intermediate step we derive an $L^2$-type regularity of the solution to such BDSDEs. Such a notion of regularity which can be though of as the modulus of continuity of the paths in an $L^2$-sense, is new.
fields
quant-ph 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Quantum Derivative Pricing for SPDEs via BDSDE Representation
Quantum-accelerated MLMC methods for BDSDE-based SPDE derivative pricing and Greeks achieve sampling complexity improvement from O(ε^{-2}) to O(ε^{-1}).