Time discretization and Markovian iteration for coupled FBSDEs
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 1160 | |
dc.contributor.author | Bender, Christian | |
dc.contributor.author | Zhang, Jianfeng | |
dc.date.accessioned | 2016-03-24T17:38:13Z | |
dc.date.available | 2019-06-28T08:02:26Z | |
dc.date.issued | 2006 | |
dc.description.abstract | In this paper we lay the foundation for a numerical algorithm to simulate high-dimensional coupled FBSDEs under weak coupling or monotonicity conditions. In particular we prove convergence of a time discretization and a Markovian iteration. The iteration differs from standard Picard iterations for FBSDEs in that the dimension of the underlying Markovian process does not increase with the number of iterations. This feature seems to be indispensable for an efficient iterative scheme from a numerical point of view. We finally suggest a fully explicit numerical algorithm and present some numerical examples with up to 10-dimensional state space. | eng |
dc.description.version | publishedVersion | eng |
dc.format | application/pdf | |
dc.identifier.issn | 0946-8633 | |
dc.identifier.uri | https://doi.org/10.34657/3417 | |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/1835 | |
dc.language.iso | eng | eng |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
dc.relation.issn | 0946-8633 | eng |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.subject.ddc | 510 | eng |
dc.subject.other | Forward backward SDE | eng |
dc.subject.other | numerics | eng |
dc.subject.other | time discretization | eng |
dc.subject.other | Monte Carlo simulation | eng |
dc.title | Time discretization and Markovian iteration for coupled FBSDEs | eng |
dc.type | Report | eng |
dc.type | Text | eng |
tib.accessRights | openAccess | eng |
wgl.contributor | WIAS | eng |
wgl.subject | Mathematik | eng |
wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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