A regression-based Monte Carlo method to solve backward stochastic differential equations

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dc.creatorGobet, Emmanuel
dc.creatorLemor, Jean-Philippe
dc.creatorWarin, Xavier
dc.date2005-08-25
dc.date.accessioned2026-07-07T05:22:41Z
dc.date.available2026-07-07T05:22:41Z
dc.descriptionWe are concerned with the numerical resolution of backward stochastic differential equations. We propose a new numerical scheme based on iterative regressions on function bases, which coefficients are evaluated using Monte Carlo simulations. A full convergence analysis is derived. Numerical experiments about finance are included, in particular, concerning option pricing with differential interest rates.
dc.descriptionPublished at http://dx.doi.org/10.1214/105051605000000412 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0508491
dc.identifierhttp://arxiv.org/abs/math/0508491
dc.identifierAnnals of Applied Probability 2005, Vol. 15, No. 3, 2172-2202
dc.identifierdoi:10.1214/105051605000000412
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/76154
dc.subjectProbability
dc.subject60H10, 60H10, 65C30 (Primary)
dc.titleA regression-based Monte Carlo method to solve backward stochastic differential equations
dc.typetext

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