A Regress-Later Algorithm for Backward Stochastic Differential Equations
Abstract
This work deals with the numerical approximation of backward stochastic differential equations (BSDEs). We propose a new algorithm which is based on the regression-later approach and the least squares Monte Carlo method. We give some conditions under which our numerical algorithm convergences and solve two practical experiments to illustrate its performance.
- Publication:
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arXiv e-prints
- Pub Date:
- June 2017
- DOI:
- 10.48550/arXiv.1706.07986
- arXiv:
- arXiv:1706.07986
- Bibcode:
- 2017arXiv170607986G
- Keywords:
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- Mathematics - Probability