The Steepest Descent Method for Forward-Backward SDEs
نویسندگان
چکیده
منابع مشابه
A Forward Scheme for Backward SDEs
We introduce a forward scheme to simulate backward SDEs. Compared to existing schemes, we avoid high order nestings of conditional expectations backwards in time. In this way the error, when approximating the conditional expectation, in dependence of the time partition is significantly reduced. Besides this generic result, we present an implementable algorithm and provide an error analysis for ...
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ژورنال
عنوان ژورنال: Electronic Journal of Probability
سال: 2005
ISSN: 1083-6489
DOI: 10.1214/ejp.v10-295