Numerical approximation of general Lipschitz BSDEs with branching processes
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Abstract: We extend the branching process based numerical algorithm of Bouchard et al. [3], that is dedicated to semilinear PDEs (or BSDEs) with Lipschitz nonlinearity, to the case where the nonlinearity involves the gradient of the solution. As in [3], this requires a localization procedure that uses a priori estimates on the true solution, so as to ensure the well-posedness of the involved Picard iteration scheme, and the global convergence of the algorithm. When, the nonlinearity depends on the gradient, the later needs to be controlled as well. This is done by using a face-lifting procedure. Convergence of our algorithm is proved without any limitation on the time horizon. We also provide numerical simulations to illustrate the performance of the algorithm.
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Cited in
(8)- Numerical approximation of BSDEs using local polynomial drivers and branching processes
- Nesting Monte Carlo for high-dimensional non-linear PDEs
- High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion
- A numerical scheme to solve nonlinear BSDEs with Lipschitz and non-Lipschitz coefficients
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