4.6 Article

A new kind of accurate numerical method for backward stochastic differential equations

Journal

SIAM JOURNAL ON SCIENTIFIC COMPUTING
Volume 28, Issue 4, Pages 1563-1581

Publisher

SIAM PUBLICATIONS
DOI: 10.1137/05063341X

Keywords

backward stochastic differential equations; Monte Carlo method; time-space discretization

Ask authors/readers for more resources

In this paper, we propose a new kind of numerical simulation method for backward stochastic differential equations (BSDEs). We discretize the continuous BSDEs on time-space discrete grids, use the Monte Carlo method to approximate mathematical expectations, and use space interpolations to compute values at non-grid points. To demonstrate the accuracy and the effectiveness of our method, several numerical examples are given.

Authors

I am an author on this paper
Click your name to claim this paper and add it to your profile.

Reviews

Primary Rating

4.6
Not enough ratings

Secondary Ratings

Novelty
-
Significance
-
Scientific rigor
-
Rate this paper

Recommended

No Data Available
No Data Available