A Forward Scheme for Backward SDEs

Bender, Christian; Denk, Robert

A Forward Scheme for Backward SDEs

Dateien

preprint_209.pdf(320.23 KB)

Datum

2005

Autor:innen

Bender, Christian

Denk, Robert

Schriftenreihe

Konstanzer Schriften in Mathematik und Informatik; 209

Publikationstyp

Preprint

Zusammenfassung

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.

Fachgebiet (DDC)

004 Informatik

Zitieren

ISO 690

BENDER, Christian, Robert DENK, 2005. A Forward Scheme for Backward SDEs

BibTex

@unpublished{Bender2005Forwa-664,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

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