Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (Q2485757)
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scientific article; zbMATH DE number 2192497
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| English | Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations |
scientific article; zbMATH DE number 2192497 |
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Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (English)
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5 August 2005
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The paper introduces: 1. a discrete-time approximation for decoupled forward-backward stochastic differential equations; 2. a backward simulation scheme given a simulation-based estimator of the conditional expectation operator. In case 1, the \(L^p\)-norm of the error has the same order of the time step. Case 2 is specialized to the Malliavin calculus based regression approximation. Extensions to the reflected case are also considered.
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Monte-Carlo methods for (reflected) forward-backward SDEs
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Malliavin calculus
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Regression estimation
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0.8412640690803528
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0.8198699951171875
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0.8167225122451782
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0.8151350021362305
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