Discrete Time Approximation and Monte-Carlo Simulation of Backward Stochastic Differential Equations
نویسندگان
چکیده
We suggest a discrete-time approximation for decoupled forward-backward stochastic differential equations. The L norm of the error is shown to be of the order of the time step. Given a simulation-based estimator of the conditional expectation operator, we then suggest a backward simulation scheme, and we study the induced L error. This estimate is more investigated in the context of the Malliavin approach for the approximation of conditional expectations. Extensions to the reflected case are also considered.
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تاریخ انتشار 2002