On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights

DOI10.1016/j.spa.2010.03.015zbMath1193.65005OpenAlexW2022684404MaRDI QIDQ981018

Nizar Touzi, Dan Crisan, Konstantinos Manolarakis

Publication date: 8 July 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2010.03.015

zbMATH Keywords

Malliavin calculusMonte Carlo methodsBSDEsweak approximations

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)

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