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Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. (English) Zbl 1071.60059
The paper introduces: 1. a discrete-time approximation for decoupled forward-backward stochastic differential equations; 2. a backward simulation scheme given a simulation-based estimator of the conditional expectation operator. In case 1, the \(L^p\)-norm of the error has the same order of the time step. Case 2 is specialized to the Malliavin calculus based regression approximation. Extensions to the reflected case are also considered.

MSC:
60H30 Applications of stochastic analysis (to PDEs, etc.)
60H07 Stochastic calculus of variations and the Malliavin calculus
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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