Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
From MaRDI portal
Publication:2515917
Malliavin calculusa priori estimatesapproximation schemesbackward stochastic differential equationsrepresentation theorem
Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Abstract: Two discretizations of a class of locally Lipschitz Markovian backward stochastic differential equations (BSDEs) are studied. The first is the classical Euler scheme which approximates a projection of the processes Z, and the second a novel scheme based on Malliavin weights which approximates the mariginals of the process Z directly. Extending the representation theorem of Ma and Zhang leads to advanced a priori estimates and stability results for this class of BSDEs. These estimates are then used to obtain competitive convergence rates for both schemes with respect to the number of points in the time-grid. The class of BSDEs considered includes Lipschitz BSDEs with fractionally smooth terminal condition as well as quadratic BSDEs with bounded, H"older continuous terminal condition (for bounded, differentiable volatility), and BSDEs related to proxy methods in numerical analysis.
Recommendations
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus
- A first order semi-discrete algorithm for backward doubly stochastic differential equations
- Discrete approximations of reflected backward stochastic differential equations with random terminal time
- On approximation of the backward stochastic differential equation
- On Numerical Approximations of Forward-Backward Stochastic Differential Equations
- Discrete-time approximation of decoupled forward-backward stochastic differential equations driven by pure jump Lévy processes
- Two-Step Scheme for Backward Stochastic Differential Equations
- Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations
- Discretization of backward semilinear stochastic evolution equations
Cited in
(18)- Improved error bounds for quantization based numerical schemes for BSDE and nonlinear filtering
- On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
- Decoupling on the Wiener space, related Besov spaces, and applications to BSDEs
- Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
- Error expansion for the discretization of backward stochastic differential equations
- Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
- Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
- Discretization and machine learning approximation of BSDEs with a constraint on the gains-process
- Stratified regression Monte-Carlo scheme for semilinear PDEs and BSDEs with large scale parallelization on GPUs
- Weak approximation of second-order BSDEs
- On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Numerical methods for backward stochastic differential equations: a survey
- Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression
- Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
- Discrete-time approximation for backward stochastic differential equations driven by \(G\)-Brownian motion
- A backward doubly stochastic differential equation approach for nonlinear filtering problems
- Deep splitting method for parabolic PDEs
This page was built for publication: Two algorithms for the discrete time approximation of Markovian backward stochastic differential equations under local conditions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2515917)
