On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights

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Second order discretization of backward SDEs and simulation with the cubature method (2014, methodology): “To the best of our knowledge, to date, four different methods have been suggested for computing these conditional expectations: The Malliavin calculus algorithm of [5] (with a further refinement presented in [11]), the regression on function basis approach of Gobet, Lemor and Warin [14, 19], the qua”
Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks (2019, methodology): “t be solved explicitly and it is therefore a very active topic of research to solve such PDEs approximatively; cf., e.g., [30, 94, 95, 97] for deterministic approximation methods for PDEs, cf., e.g., [2, 6, 7, 10, 12, 13, 17, 18, 19, 20, 25, 26, 27, 28, 38, 39, 31, 32, 40, 41, 42, 43, 44, 45, 46, 57”