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Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
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    Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (English)
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    5 August 2005
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    The paper introduces: 1. a discrete-time approximation for decoupled forward-backward stochastic differential equations; 2. a backward simulation scheme given a simulation-based estimator of the conditional expectation operator. In case 1, the \(L^p\)-norm of the error has the same order of the time step. Case 2 is specialized to the Malliavin calculus based regression approximation. Extensions to the reflected case are also considered.
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    Monte-Carlo methods for (reflected) forward-backward SDEs
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    Malliavin calculus
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    Regression estimation
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