A convolution method for numerical solution of backward stochastic differential equations

DOI10.1007/s11009-015-9449-4zbMath1360.60109arXiv1304.1783OpenAlexW2952051563MaRDI QIDQ518855

Polynice Oyono Ngou, Cody Blaine Hyndman

Publication date: 30 March 2017

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.1783

zbMATH Keywords

fast Fourier transformbackward stochastic differential equationsnumerical approximationconvolution methodparabolic PDEoption valuation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management ⋮ A Monte Carlo method for backward stochastic differential equations with Hermite martingales ⋮ Efficient numerical Fourier methods for coupled forward-backward SDEs ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ A pricing option approach based on backward stochastic differential equation theory

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