A Regress-Later Algorithm for Backward Stochastic Differential Equations
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Publication:6288250
arXiv1706.07986MaRDI QIDQ6288250FDOQ6288250
Authors: Kossi Gnameho, Mitja Stadje, Antoon Pelsser 
Publication date: 24 June 2017
Abstract: This work deals with the numerical approximation of backward stochastic differential equations (BSDEs). We propose a new algorithm which is based on the regression-later approach and the least squares Monte Carlo method. We give some conditions under which our numerical algorithm convergences and solve two practical experiments to illustrate its performance.
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