Simulation of BSDEs by Wiener chaos expansion

DOI10.1214/13-AAP943zbMath1311.60077arXiv1204.4137MaRDI QIDQ2454405

Céline Labart, Philippe Briand

Publication date: 13 June 2014

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.4137

zbMATH Keywords

backward stochastic differential equationsnumerical approximationMalliavin derivativeWiener chaos expansion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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