Journal
SIAM JOURNAL ON SCIENTIFIC COMPUTING
Volume 28, Issue 4, Pages 1563-1581Publisher
SIAM PUBLICATIONS
DOI: 10.1137/05063341X
Keywords
backward stochastic differential equations; Monte Carlo method; time-space discretization
Categories
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
Recommended
No Data Available