Abstract
We suggest a discrete-time approximation for decoupled forward-backward stochastic differential equations. The Lp norm of the error is shown to be of the order of the time step. Given a simulation-based estimator of the conditional expectation operator, we then suggest a backward simulation scheme, and we study the induced Lp error. This estimate is more investigated in the context of the Malliavin approach for the approximation of conditional expectations. Extensions to the reflected case are also considered.
Original language | English (US) |
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Pages (from-to) | 175-206 |
Number of pages | 32 |
Journal | Stochastic Processes and their Applications |
Volume | 111 |
Issue number | 2 |
DOIs | |
State | Published - Jun 2004 |
Keywords
- Malliavin calculus
- Monte-Carlo methods for (reflected) forward-backward SDEs
- Regression estimation
ASJC Scopus subject areas
- Statistics and Probability
- Modeling and Simulation
- Applied Mathematics