Solving backward stochastic differential equations using the cubature method: Application to nonlinear pricing

DOI10.1142/9789814313179_0050zbMath1266.65006OpenAlexW4252168909MaRDI QIDQ4919467

Dan Crisan, Konstantinos Manolarakis

Publication date: 14 May 2013

Published in: Progress in Analysis and Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814313179_0050

zbMATH Keywords

algorithmnumerical exampleerror propagationbackward stochastic differential equationsnonlinear pricing

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (6)

Least-Squares Monte Carlo for Backward SDEs ⋮ Maximum likelihood estimation for multiscale Ornstein–Uhlenbeck processes ⋮ Stability of backward stochastic differential equations: the general Lipschitz case ⋮ Recent advances in various fields of numerical probability ⋮ A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations ⋮ Hybrid PDE solver for data-driven problems and modern branching

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