Discrete-time approximation for continuously and discretely reflected BSDEs

DOI10.1016/j.spa.2007.12.007zbMath1158.60030OpenAlexW2052101178MaRDI QIDQ2518617

Jean-François Chassagneux, Bruno Bouchard

Publication date: 16 January 2009

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

Full work available at URL: https://doi.org/10.1016/j.spa.2007.12.007

zbMATH Keywords

regularityBackward stochastic differential equationreflection backward stochastic differential equationdiscrete time approximation schemes

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic methods, stochastic differential equations (65C99)

Related Items (24)

A PRIMAL–DUAL ALGORITHM FOR BSDES ⋮ Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods ⋮ Least-Squares Monte Carlo for Backward SDEs ⋮ Swing Options Valuation: A BSDE with Constrained Jumps Approach ⋮ A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management ⋮ Strong approximations of BSDEs in a domain ⋮ Quantitative stability and numerical analysis of Markovian quadratic BSDEs with reflection ⋮ Infinite horizon impulse control problem with continuous costs, numerical solutions ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Discrete-time approximation of multidimensional BSDEs with oblique reflections ⋮ A convolution method for numerical solution of backward stochastic differential equations ⋮ Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions ⋮ A stochastic approximation for fully nonlinear free boundary parabolic problems ⋮ Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems ⋮ Application of doubly reflected BSDEs to an impulse control problem ⋮ Discrete-type approximations for non-Markovian optimal stopping problems: Part I ⋮ Deep backward schemes for high-dimensional nonlinear PDEs ⋮ The convergence rate from discrete to continuous optimal investment stopping problem ⋮ A discrete-time approximation for doubly reflected BSDEs ⋮ Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing. ⋮ Stochastic Control Representations for Penalized Backward Stochastic Differential Equations ⋮ When terminal facelift enforces delta constraints ⋮ A fully quantization-based scheme for FBSDEs ⋮ Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps

Cites Work

• Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• An analysis of a least squares regression method for American option pricing
• A numerical scheme for BSDEs
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Discrete-time approximation of decoupled Forward-Backward SDE with jumps
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Representations and regularities for solutions to BSDEs with reflections
• Error analysis of the optimal quantization algorithm for obstacle problems.
• Backward Stochastic Differential Equations in Finance
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