On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights (Q981018): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.spa.2010.03.015 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2022684404 / rank | |||
Normal rank | |||
Revision as of 22:41, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights |
scientific article |
Statements
On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights (English)
0 references
8 July 2010
0 references
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.
0 references
BSDEs
0 references
weak approximations
0 references
Monte Carlo methods
0 references
Malliavin calculus
0 references
