Time discretization and Markovian iteration for coupled FBSDEs (Q2476402): Difference between revisions

Consider equidistant numerical algorithms to simulate high-dimensional coupled forward-backward stochastic differential equations (FBSDEs) under weak coupling or monotonicity conditions. The authors prove convergence (kind of mean square convergence referring to viscosity solutions) of a time-discretization and a Markovian iteration. The iteration differs from standard Picard iterations for FBSDEs in that the dimension of the underlying Markovian process does not increase with the number of iterations - an important efficiency aspect. Finally, they suggest a fully explicit numerical algorithm and present some numerical examples with up to 10-dimensional state space.