A numerical algorithm for a class of BSDEs via the branching process

Pierre Henry-Labordère, Xiaolu Tan, Nizar Touzi

Research output: Contribution to journalArticlepeer-review

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 languageEnglish (US)
Pages (from-to)1112-1140
Number of pages29
JournalStochastic Processes and their Applications
Volume124
Issue number2
DOIs
StatePublished - 2014

Keywords

  • BSDEs
  • Branching process
  • Numerical algorithm
  • Path dependent PDEs
  • Viscosity solution

ASJC Scopus subject areas

  • Statistics and Probability
  • Modeling and Simulation
  • Applied Mathematics

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