Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (Q2485757)

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.