Simulation of BSDEs by Wiener chaos expansion
Probability
2014-05-06 v3
Abstract
We present an algorithm to solve BSDEs based on Wiener chaos expansion and Picard's iterations. We get a forward scheme where the conditional expectations are easily computed thanks to chaos decomposition formulas. We use the Malliavin derivative to compute . Concerning the error, we derive explicit bounds with respect to the number of chaos and the discretization time step. We also present numerical experiments. We obtain very encouraging results in terms of speed and accuracy.
Keywords
Cite
@article{arxiv.1204.4137,
title = {Simulation of BSDEs by Wiener chaos expansion},
author = {Philippe Briand and Céline Labart},
journal= {arXiv preprint arXiv:1204.4137},
year = {2014}
}
Comments
Published in at http://dx.doi.org/10.1214/13-AAP943 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)