A forward scheme for backward SDEs (Q2464848)

A forward numerical scheme for simulating backward SDEs avoiding high order nestings of conditional expectations backwards in time is introduced. The authors present an implementable algorithm. Mean square convergence of related numerical approximations is studied under the usual assumptions. Finally, as an example, a financial problem is numerically solved. Their algorithm shows several improvements compared to previously reported ones (e.g., error reduction, higher efficiency, absence of explosions, etc.).