We study the strong approximation of a backward SDE with finite stopping time horizon, namely the first exit time of a forward SDE from a cylindrical domain. We use the Euler scheme approach of ...

We design a numerical scheme for solving a Dynamic Programming equation with Malliavin weights arising from the time-discretization of backward stochastic differential equations with the integration ...

This paper offers a Bayesian framework for the calibration of financial models using neural stochastic differential equations ...