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Solving fully coupled FBSDEs by minimizing a directly calculable error functional

Abstract : We present a new scheme for approximating solutions of forward-backward stochastic differential equations (FBSDEs). The scheme is particularly suitable for fully coupled FBSDEs. The approximation relies on a piecewise in time approximation by minimizing an error functional that measures how well a process triplet satifies the FBSDE. The error functional is minimized in a finite-dimensional linear space based on iterated integrals. We provide sufficient conditions for the approximations to converge at the rate 1/sqrt(N), where N is the time discretization parameter.
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https://hal.archives-ouvertes.fr/hal-01915772
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Submitted on : Thursday, November 8, 2018 - 8:51:46 AM
Last modification on : Wednesday, August 7, 2019 - 3:04:14 PM
Long-term archiving on: : Saturday, February 9, 2019 - 12:49:10 PM

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  • HAL Id : hal-01915772, version 1

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Stefan Ankirchner, Alexander Fromm. Solving fully coupled FBSDEs by minimizing a directly calculable error functional. 2018. ⟨hal-01915772⟩

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