A fully quantization-based scheme for FBSDEs

DOI10.1016/J.AMC.2022.127666MaRDI QIDQ2101958zbMATH OpenOpenAlexFDO

Authors Giorgia Callegaro, Alessandro Gnoatto, Martino Grasselli

Publication date 7 December 2022

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2105.09276

zbMATH Keywords

FBSDEsnumerical schemequantization

Mathematics Subject Classification ID

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

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Cited in

(5)

• Highly accurate numerical schemes for stochastic optimal control via FBSDEs
• Numerical methods for backward stochastic differential equations: a survey
• A Fully Quantization-based Scheme for FBSDEs
• Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
• Quantization of stochastic volatility models: numerical tests and an open source implementation

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