Abstract
We give a study to the algorithm for semi-linear parabolic PDEs in Henry-Labordère (2012) and then generalize it 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 et al. (to appear) [5] and extended in Ekren et al. (2012) [6,7].
Original language | English (US) |
---|---|
Pages (from-to) | 1112-1140 |
Number of pages | 29 |
Journal | Stochastic Processes and their Applications |
Volume | 124 |
Issue number | 2 |
DOIs | |
State | Published - 2014 |
Keywords
- BSDEs
- Branching process
- Numerical algorithm
- Path dependent PDEs
- Viscosity solution
ASJC Scopus subject areas
- Statistics and Probability
- Modeling and Simulation
- Applied Mathematics