Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

DOI10.1016/J.SPA.2004.01.001zbMath1071.60059OpenAlexW2167018969MaRDI QIDQ2485757

Bruno Bouchard, Nizar Touzi

Publication date: 5 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.spa.2004.01.001

zbMATH Keywords

Malliavin calculusRegression estimationMonte-Carlo methods for (reflected) forward-backward SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (only showing first 100 items - show all)

\(L_{2}\)-variation of Lévy driven BSDEs with non-smooth terminal conditions ⋮ Simulation of BSDEs with jumps by Wiener chaos expansion ⋮ Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth ⋮ Stochastic \(L^1\)-optimal control via forward and backward sampling ⋮ Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise ⋮ Valuation of power plants by utility indifference and numerical computation ⋮ Multistep schemes for solving backward stochastic differential equations on GPU ⋮ Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement ⋮ Numerical computation for backward doubly SDEs with random terminal time ⋮ A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations ⋮ Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options ⋮ Numerical approach to asset pricing models with stochastic differential utility ⋮ Euler time discretization of backward doubly SDEs and application to semilinear SPDEs ⋮ Convolutional neural network based simulation and analysis for backward stochastic partial differential equations ⋮ Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities ⋮ Multilevel Picard approximations of high-dimensional semilinear partial differential equations with locally monotone coefficient functions ⋮ BS\(\Delta\)Es and BSDEs with non-Lipschitz drivers: comparison, convergence and robustness ⋮ A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations ⋮ Numerical approximation of singular forward-backward SDEs ⋮ An implicit numerical scheme for a class of backward doubly stochastic differential equations ⋮ Weighted bounded mean oscillation applied to backward stochastic differential equations ⋮ Spatial convergence for semi-linear backward stochastic differential equations in Hilbert space: a mild approach ⋮ Product Markovian quantization of a diffusion process with applications to finance ⋮ Strong approximations of BSDEs in a domain ⋮ Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations ⋮ On the homotopy analysis method for backward/forward-backward stochastic differential equations ⋮ Error expansion for the discretization of backward stochastic differential equations ⋮ Branching diffusion representation of semi-linear elliptic PDEs and estimation using Monte Carlo method ⋮ Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents ⋮ Stochastic differential utility as the continuous-time limit of recursive utility ⋮ Discretisation of FBSDEs driven by càdlàg martingales ⋮ Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models ⋮ Euler-type schemes for weakly coupled forward-backward stochastic differential equations and optimal convergence analysis ⋮ A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus ⋮ Numerical approximation of BSDEs using local polynomial drivers and branching processes ⋮ Efficient numerical Fourier methods for coupled forward-backward SDEs ⋮ A numerical scheme for backward doubly stochastic differential equations ⋮ On conditional cuts for stochastic dual dynamic programming ⋮ A regression-based numerical scheme for backward stochastic differential equations ⋮ Robustness of quadratic hedging strategies in finance via backward stochastic differential equations with jumps ⋮ Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility ⋮ Numerical schemes for multivalued backward stochastic differential systems ⋮ Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition ⋮ An efficient third-order scheme for BSDEs based on nonequidistant difference scheme ⋮ Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks ⋮ Backward nonlinear expectation equations ⋮ Discrete-time approximation of multidimensional BSDEs with oblique reflections ⋮ A probabilistic numerical method for fully nonlinear parabolic PDEs ⋮ Markovian quadratic and superquadratic BSDEs with an unbounded terminal condition ⋮ Monte-Carlo Galerkin approximation of fractional stochastic integro-differential equation ⋮ General linear forward and backward stochastic difference equations with applications ⋮ An efficient numerical algorithm for solving data driven feedback control problems ⋮ Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers ⋮ Numerical simulation of BSDEs with drivers of quadratic growth ⋮ Convergence of the deep BSDE method for coupled FBSDEs ⋮ Malliavin calculus for backward stochastic differential equations and application to numerical solutions ⋮ The Skorokhod embedding problem for inhomogeneous diffusions ⋮ One order numerical scheme for forward-backward stochastic differential equations ⋮ Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates ⋮ ``Regression anytime with brute-force SVD truncation ⋮ Branching diffusion representation for nonlinear Cauchy problems and Monte Carlo approximation ⋮ Monte-Carlo algorithms for a forward Feynman-Kac-type representation for semilinear nonconservative partial differential equations ⋮ Stochastic optimal control via forward and backward stochastic differential equations and importance sampling ⋮ Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering ⋮ Density analysis of non-Markovian BSDEs and applications to biology and finance ⋮ A convolution method for numerical solution of backward stochastic differential equations ⋮ Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations ⋮ Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions ⋮ Second-order schemes for solving decoupled forward backward stochastic differential equations ⋮ An approximation scheme for stochastic controls in continuous time ⋮ FBDEs with time delayed generators: \(L^{p}\)-solutions, differentiability, representation formulas and path regularity ⋮ Perturbative expansion technique for non-linear FBSDEs with interacting particle method ⋮ Path regularity and explicit convergence rate for BSDE with truncated quadratic growth ⋮ \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions ⋮ On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights ⋮ Random walk approximation of BSDEs with Hölder continuous terminal condition ⋮ High-order combined multi-step scheme for solving forward backward stochastic differential equations ⋮ Stochastic differential games: a sampling approach via FBSDEs ⋮ An approximation result and Monte Carlo simulation of the adapted solution of the one-dimensional backward stochastic differential equation ⋮ Donsker-type theorem for BSDEs: rate of convergence ⋮ Gradient convergence of deep learning-based numerical methods for BSDEs ⋮ A branching particle system approximation for a class of FBSDEs ⋮ Discrete-time probabilistic approximation of path-dependent stochastic control problems ⋮ A multi-step scheme based on cubic spline for solving backward stochastic differential equations ⋮ Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs ⋮ \(L^2\)-regularity of solutions to linear backward stochastic heat equations, and a numerical application ⋮ Multilevel Picard iterations for solving smooth semilinear parabolic heat equations ⋮ A fully backward representation of semilinear PDEs applied to the control of thermostatic loads in power systems ⋮ Explicit deferred correction methods for second-order forward backward stochastic differential equations ⋮ On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations ⋮ Machine learning for semi linear PDEs ⋮ A new numerical method for 1-D backward stochastic differential equations without using conditional expectations ⋮ Asymptotic expansion as prior knowledge in deep learning method for high dimensional BSDEs ⋮ Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations ⋮ Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo ⋮ High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion ⋮ A fully quantization-based scheme for FBSDEs ⋮ A monotone scheme for high-dimensional fully nonlinear PDEs ⋮ McKean Feynman-Kac probabilistic representations of non-linear partial differential equations ⋮ Numerical simulation of quadratic BSDEs

Cites Work

• Unnamed Item
• Unnamed Item
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Forward-backward stochastic differential equations and their applications
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• An analysis of a least squares regression method for American option pricing
• Stability in \(\mathbb D\) of martingales and backward equations under discretization of filtration
• Numerical method for backward stochastic differential equations
• On the Malliavin approach to Monte Carlo approximation of conditional expectations
• Numerical methods for forward-backward stochastic differential equations
• Backward Stochastic Differential Equations in Finance
• Variance Reduction Methods for Simulation of Densities on Wiener Space
• Filtration stability of backward sde's
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• Donsker-type theorem for BSDEs

This page was built for publication: Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations