Random walk approximation of BSDEs with Hölder continuous terminal condition
DOI10.3150/19-BEJ1120zbMath1433.60033arXiv1806.07674OpenAlexW2990364650WikidataQ109746642 ScholiaQ109746642MaRDI QIDQ2278659
Antti Luoto, Christel Geiss, Céline Labart
Publication date: 5 December 2019
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1806.07674
backward stochastic differential equationsnumerical schemespeed of convergencerandom walk approximation
Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (7)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Simulation of BSDEs with jumps by Wiener chaos expansion
- Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition
- Error expansion for the discretization of backward stochastic differential equations
- Convergence of solutions of discrete reflected backward SDE's and simulations
- On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
- Existence and uniqueness of solutions to the backward 2D stochastic Navier-Stokes equations
- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- A numerical scheme for BSDEs
- Corrigendum to ``Stability in \(\mathbb D\) of martingales and backward equations under discretization of filtration
- Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations
- The rate of convergence of the binomial tree scheme
- Representation theorems for backward stochastic differential equations
- Numerical method for backward stochastic differential equations
- Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems
- On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
- A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations
- Numerical method for FBSDEs of McKean-Vlasov type
- A numerical algorithm for a class of BSDEs via the branching process
- Runge-Kutta schemes for backward stochastic differential equations
- Simulation of BSDEs by Wiener chaos expansion
- Time discretization and Markovian iteration for coupled FBSDEs
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- A forward-backward stochastic algorithm for quasi-linear PDEs
- Representation of solutions to BSDEs associated with a degenerate FSDE
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- \(L^p\) solutions of backward stochastic differential equations.
- Stability of Regression-Based Monte Carlo Methods for Solving Nonlinear PDEs
- Numerical algorithms for backward stochastic differential equations with 1-d brownian motion: Convergence and simulations
- Numerical Method for Reflected Backward Stochastic Differential Equations
- Cubature method to solve BSDEs: Error expansion and complexity control
- Linear Multistep Schemes for BSDEs
- Numerical Stability Analysis of the Euler Scheme for BSDEs
- Donsker-type theorem for BSDEs
This page was built for publication: Random walk approximation of BSDEs with Hölder continuous terminal condition
