Solving BSDE with adaptive control variate

Emmanuel Gobet (1) , Céline Labart (2)

1 MATHFI - Mathématiques financières
2 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

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.

Mots clés: semilinear parabolic PDE; adaptive control variate; Backward stochastic differential equations

Domaines: Probabilités [math.PR]; Equations aux dérivées partielles [math.AP]; Théorie [stat.TH]

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