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A sequential Monte Carlo algorithm for solving BSDEs
Author(s) -
Gobet Emmanuel,
Labart Céline
Publication year - 2007
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200700298
Subject(s) - convergence (economics) , monte carlo method , algorithm , space (punctuation) , mathematics , computer science , monte carlo algorithm , mathematical optimization , statistics , economics , economic growth , operating system
We present and analyze a numerical algorithm for solving BSDEs based on Picard iterations and on a sequential control variate method. Its convergence is geometric. Moreover, our algorithm provides a regular solution w.r.t. time and space. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)