Efficient numerical Fourier methods for coupled forward-backward SDEs

DOI10.1016/J.CAM.2015.10.019MaRDI QIDQ898981zbMATH OpenOpenAlexFDO

Authors T. P. Huijskens, M. J. Ruijter, Cornelis W. Oosterlee

Publication date 21 December 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2015.10.019

zbMATH Keywords

characteristic functionfinancenumerical experimentRichardson extrapolationsecond-order convergencecoupled forward-backward stochastic differential equationscross-hedgingFourier-cosine expansion method

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods for discrete and fast Fourier transforms (65T50)

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Cites work

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Cited in

(17)

• Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance
• A gradient method for high-dimensional BSDEs
• A Monte Carlo method for backward stochastic differential equations with Hermite martingales
• Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks
• The COS method for option valuation under the SABR dynamics
• Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations
• A Fourier cosine method for an efficient computation of solutions to BSDEs
• Convergence of the deep BSDE method for coupled FBSDEs
• Convergence of a Robust Deep FBSDE Method for Stochastic Control
• Gradient convergence of deep learning-based numerical methods for BSDEs
• A regression-based numerical scheme for backward stochastic differential equations
• A Fourier transform method for solving backward stochastic differential equations
• Time discretization and Markovian iteration for coupled FBSDEs
• A parallel four step domain decomposition scheme for coupled forward-backward stochastic differential equations
• Numerical methods for backward stochastic differential equations: a survey
• Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
• Deep splitting method for parabolic PDEs

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