Bibliographic Details
| Title: |
SOLVING BSDE WITH ADAPTIVE CONTROL VARIATE. |
| Authors: |
Gobet, Emmanuel1 emmanuel.gobet@imag.fr, Labart, Céline2 celine.labart@upmc.fr |
| Source: |
SIAM Journal on Numerical Analysis. 2010, Vol. 48 Issue 1, p257-277. 21p. 1 Chart, 3 Graphs. |
| Subjects: |
Algorithms, Variate difference method, Stochastic convergence, Picard schemes, Stochastic differential equations, Monte Carlo method |
| 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. [ABSTRACT FROM AUTHOR] |
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| Database: |
Engineering Source |
