Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
摘要：
We suggest a discrete-time approximation for decoupled forward–backward stochastic differential equations. The L p norm of the error is shown to be of the order of the time step. Given a simulation-based estimator of the conditional expectation operator, we then suggest a backward simulation scheme, and we study the induced L p error. This estimate is more investigated in the context of the Malliavin approach for the approximation of conditional expectations. Extensions to the reflected case are also considered.
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关键词：
Monte-Carlo methods for (reflected) forward–backward SDEs Malliavin calculus Regression estimation
DOI：
10.1016/j.spa.2004.01.001
被引量：
年份：
2004
Elsevier
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