Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

Keyphrases

• Backward Simulation 50%
• Backward Stochastic Differential Equation 100%
• Conditional Expectation 50%
• Conditional Expectation Operators 50%
• Discrete-time Approximation 100%
• Fully Coupled Forward-backward Stochastic Differential Equations 50%
• Lp-norm 50%
• Monte Carlo Simulation 100%
• Simulation Estimator 50%
• Simulation Scheme 50%

Mathematics

• Conditional Expectation 100%
• Discrete Time 100%
• Expectation Operator 50%
• Monte Carlo 100%
• Stochastic Differential Equation 100%
• Time Step 50%

Economics, Econometrics and Finance

• Monte Carlo Simulation 100%