A Fully Quantization-based Scheme for FBSDEs

DOI10.1016/J.AMC.2022.127666MaRDI QIDQ6368050arXivFDO

Authors Giorgia Callegaro, Alessandro Gnoatto, Martino Grasselli

Publication date 7 May 2021

Published in arXiv

Full work available at URL https://doi.org/10.1016/J.AMC.2022.127666

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20) Numerical solutions to stochastic differential and integral equations (65C30) Numerical analysis or methods applied to Markov chains (65C40)

arXiv classification

cs.NAmath.NAmath.PRq-fin.MF

Abstract: We propose a quantization-based numerical scheme for a family of decoupled FBSDEs. We simplify the scheme for the control in Pag`es and Sagna (2018) so that our approach is fully based on recursive marginal quantization and does not involve any Monte Carlo simulation for the computation of conditional expectations. We analyse in detail the numerical error of our scheme and we show through some examples the performance of the whole procedure, which proves to be very effective in view of financial applications.

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