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Numerical simulation of BSDEs using empirical regression methods: theory and practice

Abstract : This article deals with the numerical resolution of backward stochastic differential equations. Firstly, we consider a rather general case where the filtration is generated by a Brownian motion and a Poisson random measure. We provide a simulation algorithm based on iterative regressions on function bases, which coefficients are evaluated using Monte Carlo simulations. We state fully explicit error bounds. Secondly, restricting to the case of a Brownian filtration, we consider reflected BSDEs and adapt the previous algorithm to that situation. The complexity of the algorithm is very competitive and allows us to treat numerical results in dimension 10.
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https://hal.archives-ouvertes.fr/hal-00291199
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Submitted on : Friday, June 27, 2008 - 9:30:15 AM
Last modification on : Wednesday, October 20, 2021 - 12:23:57 AM
Long-term archiving on: : Friday, May 28, 2010 - 10:54:16 PM

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  • HAL Id : hal-00291199, version 1
  • ARXIV : 0806.4447

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Emmanuel Gobet, Jean-Philippe Lemor. Numerical simulation of BSDEs using empirical regression methods: theory and practice. 2005. ⟨hal-00291199⟩

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Les métriques sont temporairement indisponibles