We develop three numerical methods to solve coupled forward-backward stochastic differential equations. We propose three different discretization techniques for the forward stochastic differential equation. A theta-discretization of the time-integrands is used to arrive at schemes with...

We develop a Fourier method to solve backward stochastic differential equations (BSDEs). General theta-discretization of the time-integrands leads to an induction scheme with conditional expectations. These are approximated by using Fourier-cosine series expansions, relying on the availability...

This paper enhances a well-known dynamic portfolio management algorithm, the BGSS algorithm, proposed by Brandt, Goyal, Santa-Clara and Stroud (Review of Financial Studies, 18, 831-873, 2005). We equip this algorithm with the components from a recently developed method, the Stochastic Grid...