A Forward Scheme for Backward SDEs

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2005
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Bender, Christian
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We introduce a forward scheme to simulate backward SDEs. Compared to existing schemes, we avoid high order nestings of conditional expectations backwards in time. In this way the error, when approximating the conditional expectation, in dependence of the time partition is significantly reduced. Besides this generic result, we present an implementable algorithm and provide an error analysis for it. Finally, we demonstrate the strength of the new algorithm by solving some financial problems numerically.

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ISO 690BENDER, Christian, Robert DENK, 2005. A Forward Scheme for Backward SDEs
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@unpublished{Bender2005Forwa-664,
  year={2005},
  title={A Forward Scheme for Backward SDEs},
  author={Bender, Christian and Denk, Robert}
}
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