A Numerical Algorithm for a Class of BSDE Via Branching Process

We generalize the algorithm for semi-linear parabolic PDEs in Henry-Labordere to the non-Markovian case for a class of Backward SDEs (BSDEs). By simulating the branching process, the algorithm does not need any backward regression. To prove that the numerical algorithm converges to the solution of BSDEs, we use the notion of viscosity solution of path dependent PDEs introduced by Ekren, Keller, Touzi and Zhang and extended in Ekren, Touzi and Zhang

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Year of publication:	2013
Authors:	Henry-Labordere, Pierre
Other Persons:	Tan, Xiaolu (contributor) ; Touzi, Nizar (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Algorithmus \| Algorithm \| Mathematische Optimierung \| Mathematical programming

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Extent:	1 Online-Ressource (27 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 4, 2013 erstellt
Other identifiers:	10.2139/ssrn.2211466 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013087340