A sequential Monte Carlo algorithm for solving BSDEs |
| |
| Authors: | Emmanuel Gobet Céline Labart |
| |
| Affiliation: | 1. Laboratoire Jean Kuntzmann, Grenoble Universités and CNRS, BP 53, 38041 Grenoble cedex 9, France;2. CMAP, Ecole Polytechnique, Route de Saclay, 91128 Palaiseau, France |
| |
| Abstract: | We present and analyze a numerical algorithm for solving BSDEs based on Picard iterations and on a sequential control variate method. Its convergence is geometric. Moreover, our algorithm provides a regular solution w.r.t. time and space. (© 2008 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim) |
| |
| Keywords: | |
|
|
