an:02192497
Zbl 1071.60059
Bouchard, Bruno; Touzi, Nizar
Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
EN
Stochastic Processes Appl. 111, No. 2, 175-206 (2004).
0304-4149
2004
j
60H30 60H07 60H10
Monte-Carlo methods for (reflected) forward-backward SDEs; Malliavin calculus; Regression estimation
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.
George Stoica (Saint John)