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Numerical simulation of BSDEs using empirical regression methods: theory and practice

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arxiv 0806.4447 v1 pith:EXLAPE73 submitted 2008-06-27 math.PR

Emmanuel Gobet (LJK) , Jean-Philippe Lemor (CMAP) This is my paper · ORCID
classification math.PR
keywords algorithmnumericalbrownianbsdescaseconsiderfiltrationsimulation
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This article deals with the numerical resolution of backward stochastic differential equations. Firstly, we consider a rather general case where the filtration is generated by a Brownian motion and a Poisson random measure. We provide a simulation algorithm based on iterative regressions on function bases, which coefficients are evaluated using Monte Carlo simulations. We state fully explicit error bounds. Secondly, restricting to the case of a Brownian filtration, we consider reflected BSDEs and adapt the previous algorithm to that situation. The complexity of the algorithm is very competitive and allows us to treat numerical results in dimension 10.

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Cited by 3 Pith papers

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