A forward scheme for backward SDEs
A forward scheme for backward SDEs
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DOI：
10.1016/j.spa.2007.03.005
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发表时间：
2007-12
影响因子：
1.4
通讯作者：
Christian Bender;R. Denk
中科院分区：
文献类型：
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作者：
Christian Bender;R. Denk
我们介绍了一种用于模拟后向SDE的正向格式。与现有方案相比，我们的方案避免了条件期望在时间上的高阶嵌套。以这种方式，根据时间划分来近似条件期望时的误差显著减小。除了这个一般性的结果，我们还给出了一个可实现的算法，并证明了它的收敛。最后，通过对一个金融问题的数值求解，验证了新算法的有效性。
We introduce a forward scheme for simulating backward SDEs. Compared to existing schemes, ours avoids high order nestings of conditional expectations backwards in time. In this way the error, when approximating the conditional expectation, depending on the time partition, is significantly reduced. Besides this generic result, we present an implementable algorithm and prove its convergence. Finally, we demonstrate the strength of the new algorithm by solving a financial problem numerically.