Numerical approximation of BSDEs using local polynomial drivers and branching processes

DOI10.1515/MCMA-2017-0116zbMath1386.65012arXiv1612.06790OpenAlexW2963242003MaRDI QIDQ1691497

Bruno Bouchard, Yiyi Zou, Xavier Warin, Xiaolu Tan

Publication date: 16 January 2018

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.06790

zbMATH Keywords

Monte Carlo methodsbranching processBSDE

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of branching processes (60J85) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Uses Software

• StOpt

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