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Numerical approximation of BSDEs using local polynomial drivers and branching processes
Work
Year: 2017
Type: article
Abstract: We propose a new numerical scheme for Backward Stochastic Differential Equations (BSDEs) based on branching processes. We approximate an arbitrary (Lipschitz) driver by local polynomials and then use... more
Source: Monte Carlo Methods and Applications
Authors Bruno Bouchard, Xiaolu Tan, Xavier Warin, Yiyi Zou
Institutions Université Paris Dauphine-PSL, Université Paris Sciences et Lettres, Centre National de la Recherche Scientifique
Cites: 24
Cited by: 26
Related to: 10
FWCI: 3.999
Citation percentile (by year/subfield): 90.99
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: green