On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights (Q981018): Difference between revisions

A Malliavin calculus-based algorithm for the numerical solution of a forward-backward stochastic differential equation is modified to reduce the number of computations required. The new algorithm is shown to converge, and an upper bound on the error is derived. An example is given where both algorithms attain similar accuracy.

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reviewed by

Melvin D. Lax

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Mathematics Subject Classification ID

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BSDEs

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weak approximations

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Monte Carlo methods

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Malliavin calculus

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author

Dan Crisan

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Konstantinos Manolarakis

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Nizar Touzi

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.spa.2010.03.015

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OpenAlex ID

W2022684404

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cites work

Filtration stability of backward sde's

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Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach

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Error analysis of the optimal quantization algorithm for obstacle problems.

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On the Malliavin approach to Monte Carlo approximation of conditional expectations

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Discrete-time approximation of decoupled Forward-Backward SDE with jumps

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Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

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Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods

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Donsker-type theorem for BSDEs

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Q4356591

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Stability in \(\mathbb D\) of martingales and backward equations under discretization of filtration

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Backward Stochastic Differential Equations in Finance

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Error expansion for the discretization of backward stochastic differential equations

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A regression-based Monte Carlo method to solve backward stochastic differential equations

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Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations

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Estimating multidimensional density functions for random variables in Wiener space

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Cubature on Wiener space

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Numerical method for backward stochastic differential equations

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Stochastic calculus of variations in mathematical finance.

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A numerical scheme for BSDEs

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Sitelinks

Mathematics(1 entry)

mardi Publication:981018

@@ Property / author @@
+Dan Crisan
@@ Property / author: Dan Crisan / rank @@
+Normal rank
@@ Property / author @@
+Konstantinos Manolarakis
@@ Property / author: Konstantinos Manolarakis / rank @@
+Normal rank
@@ Property / author @@
+Nizar Touzi
@@ Property / author: Nizar Touzi / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.spa.2010.03.015
+Normal rank
@@ Property / OpenAlex ID @@
+W2022684404
@@ Property / OpenAlex ID: W2022684404 / rank @@
+Normal rank
@@ Property / cites work @@
+Filtration stability of backward sde's
@@ Property / cites work: Filtration stability of backward sde's / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
+Normal rank
@@ Property / cites work @@
+Error analysis of the optimal quantization algorithm for obstacle problems.
+Normal rank
@@ Property / cites work @@
+On the Malliavin approach to Monte Carlo approximation of conditional expectations
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation of decoupled Forward-Backward SDE with jumps
+Normal rank
@@ Property / cites work @@
+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
+Normal rank
@@ Property / cites work @@
+Donsker-type theorem for BSDEs
@@ Property / cites work: Donsker-type theorem for BSDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Q4356591
@@ Property / cites work: Q4356591 / rank @@
+Normal rank
@@ Property / cites work @@
+Stability in \(\mathbb D\) of martingales and backward equations under discretization of filtration
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Error expansion for the discretization of backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+A regression-based Monte Carlo method to solve backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Estimating multidimensional density functions for random variables in Wiener space
+Normal rank
@@ Property / cites work @@
+Cubature on Wiener space
@@ Property / cites work: Cubature on Wiener space / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical method for backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Stochastic calculus of variations in mathematical finance.
+Normal rank
@@ Property / cites work @@
+A numerical scheme for BSDEs
@@ Property / cites work: A numerical scheme for BSDEs / rank @@
+Normal rank