Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

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DOI10.1016/j.spa.2004.01.001zbMath1071.60059OpenAlexW2167018969MaRDI QIDQ2485757

Bruno Bouchard, Nizar Touzi

Publication date: 5 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.spa.2004.01.001

zbMATH Keywords

Malliavin calculus Regression estimation Monte-Carlo methods for (reflected) forward-backward SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07)

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