A Regress-Later Algorithm for Backward Stochastic Differential Equations
Probability
2017-06-27 v1
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.
Cite
@article{arxiv.1706.07986,
title = {A Regress-Later Algorithm for Backward Stochastic Differential Equations},
author = {Kossi Gnameho and Mitja Stadje and Antoon Pelsser},
journal= {arXiv preprint arXiv:1706.07986},
year = {2017}
}