On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights (Q981018)
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| Language | Label | Description | Also known as |
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| English | On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights |
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On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights (English)
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8 July 2010
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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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BSDEs
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weak approximations
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Monte Carlo methods
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Malliavin calculus
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