On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights (Q981018)

From MaRDI portal
scientific article
Language Label Description Also known as
English
On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
scientific article

    Statements

    On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights (English)
    0 references
    8 July 2010
    0 references
    A Malliavin calculus-based algorithm for the numerical solution of a forward-backward stochastic differential equation is modified to reduce the number of computations required. The new algorithm is shown to converge, and an upper bound on the error is derived. An example is given where both algorithms attain similar accuracy.
    0 references
    0 references
    BSDEs
    0 references
    weak approximations
    0 references
    Monte Carlo methods
    0 references
    Malliavin calculus
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references