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Solving BSDE with adaptive control variate

Abstract : We present and analyze an algorithm to solve numerically BSDEs based on Picard's iterations and on a sequential control variate technique. Its convergence is geometric. Moreover, the solution provided by our algorithm is regular both w.r.t. time and space.
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https://hal.archives-ouvertes.fr/hal-00373350
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Submitted on : Saturday, April 4, 2009 - 9:13:42 AM
Last modification on : Tuesday, November 16, 2021 - 4:53:45 AM
Long-term archiving on: : Thursday, June 10, 2010 - 7:46:07 PM

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Emmanuel Gobet, Céline Labart. Solving BSDE with adaptive control variate. SIAM Journal on Numerical Analysis, Society for Industrial and Applied Mathematics, 2010, 48 (1), pp.257-277. ⟨10.1137/090755060⟩. ⟨hal-00373350⟩

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