A forward scheme for backward SDEs

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:117

Article

Bender, Christian¹  Denk, Robert² 

[1] Braunschweig Univ Technol, Inst Math Stochast, D-38107 Braunschweig, Germany

[2] Univ Konstanz, Dept Math & Stat, D-78457 Constance, Germany

关键词: BSDE;    numerics;    Monte Carlo simulation;    finance;   

DOI  :  10.1016/j.spa.2007.03.005

来源: Elsevier

【 摘 要 】

We introduce a forward scheme for simulating backward SDEs. Compared to existing schemes, ours avoids high order nestings of conditional expectations backwards in time. In this way the error, when approximating the conditional expectation, depending on the time partition, is significantly reduced. Besides this generic result, we present an implementable algorithm and prove its convergence. Finally, we demonstrate the strength of the new algorithm by solving a financial problem numerically. (c) 2007 Elsevier B.V. All rights reserved.

【 授权许可】

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