An approximation result and Monte Carlo simulation of the adapted solution of the one-dimensional backward stochastic differential equation

DOI10.1515/rose-2018-0011zbMath1401.60117OpenAlexW2887551813WikidataQ115235777 ScholiaQ115235777MaRDI QIDQ1787194

Yanyan Li

Publication date: 4 October 2018

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2018-0011

zbMATH Keywords

Monte Carlo simulationbackward stochastic differential equationdiscrete time approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Uses Software

• SimEstFBM

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
• Continuous-time stochastic control and optimization with financial applications
• Conjugate convex functions in optimal stochastic control
• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Backward Stochastic Differential Equations in Finance

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