Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

A numerical algorithm for a class of BSDE via branching process

Abstract : We generalize the algorithm for semi-linear parabolic PDEs in Henry-Labordére \cite{Henry-Labordere_branching} 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 \cite{EkrenKellerTouziZhang} and extended in Ekren, Touzi and Zhang \cite{EkrenTouziZhang1, EkrenTouziZhang2}.
Document type :
Preprints, Working Papers, ...
Complete list of metadata

Cited literature [19 references]  Display  Hide  Download

https://hal.inria.fr/hal-00817180
Contributor : Nizar Touzi <>
Submitted on : Wednesday, April 24, 2013 - 6:59:42 AM
Last modification on : Thursday, March 5, 2020 - 6:21:34 PM
Long-term archiving on: : Monday, April 3, 2017 - 9:05:35 AM

File

BSDE_MonteCarlo.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-00817180, version 1

Collections

Citation

Pierre Henry-Labordere, Xiaolu Tan, Nizar Touzi. A numerical algorithm for a class of BSDE via branching process. 2013. ⟨hal-00817180⟩

Share

Metrics

Record views

536

Files downloads

306