Error expansion for the discretization of backward stochastic differential equations
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References listed on IDEAS
- Bouchard, Bruno & Touzi, Nizar, 2004. "Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 111(2), pages 175-206, June.
- N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71.
- Arturo Kohatsu & Roger Pettersson, 2002. "Variance reduction methods for simulation of densities on Wiener space," Economics Working Papers 597, Department of Economics and Business, Universitat Pompeu Fabra.
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- Crisan, D. & Manolarakis, K. & Touzi, N., 2010. "On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights," Stochastic Processes and their Applications, Elsevier, vol. 120(7), pages 1133-1158, July.
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KeywordsBackward stochastic differential equation Discretization scheme Malliavin calculus Semi-linear parabolic PDE;
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