A numerical algorithm for a class of BSDEs via the branching process

DOI10.1016/j.spa.2013.10.005zbMath1301.60084arXiv1302.4624OpenAlexW3025390840MaRDI QIDQ2434758

Pierre Henry-Labordère, Nizar Touzi, Xiaolu Tan

Publication date: 7 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.4624

zbMATH Keywords

viscosity solutionbranching processnumerical algorithmpath dependent PDEsBSDEs

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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Cites Work

• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
• Adapted solution of a backward stochastic differential equation
• Monte Carlo solution of Cauchy problem for a nonlinear parabolic equation
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• On the branching process for Brownian particles with an absorbing boundary
• On viscosity solutions of path dependent PDEs
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