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

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

Nizar Touzi, Bruno Bouchard

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

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H30: Applications of stochastic analysis (to PDEs, etc.)

60H07: Stochastic calculus of variations and the Malliavin calculus

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