Stability of regression-based Monte Carlo methods for solving nonlinear PDEs

DOI10.1002/CPA.21590MaRDI QIDQ2802033zbMATH OpenOpenAlexFDO

Authors Samu Alanko

Publication date 22 April 2016

Published in Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cpa.21590

zbMATH Keywords

variance reductionbackward stochastic differential equationnumerical exampleregression-based Monte Carlo method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

• A probabilistic numerical method for fully nonlinear parabolic PDEs
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Forward-backward stochastic differential equations and their applications
• Least-squares Monte Carlo for backward SDEs
• Path regularity and explicit convergence rate for BSDE with truncated quadratic growth
• Reducing variance in the numerical solution of BSDEs
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Valuing American options by simulation: a simple least-squares approach

Cited in

(4)

• An efficient algorithm for stochastic optimal control problems by means of a least-squares Monte-Carlo method
• Mean square rate of convergence for random walk approximation of forward-backward SDEs
• Random walk approximation of BSDEs with Hölder continuous terminal condition
• A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations

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