A Sequential Monte-Carlo algorithm for solving BSDEs

Emmanuel Gobet (1) , Céline Labart (2)

1 MATHFI - Mathématiques financières
2 CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique

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.

Domaines: Probabilités [math.PR]

Emmanuel Gobet, Céline Labart. A Sequential Monte-Carlo algorithm for solving BSDEs. ICIAM07 - 6th International Congress on Industrial Applied Mathematics, Jul 2007, Zurich, Switzerland. pp.1081801-1081802, ⟨10.1002/pamm.200700298⟩. ⟨hal-00393602⟩