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14

SIAMNUM
2010

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Solving BSDE with Adaptive Control Variate

12 years 11 months ago

Solving BSDE with Adaptive Control Variate

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We present and analyze an algorithm to solve numerically BSDEs based on Picard's iterations and on a sequential control variate technique. Its convergence is geometric. Moreover, the solution provided by our algorithm is regular both w.r.t. time and space. Key words. Backward stochastic differential equations, adaptive control variate, semilinear parabolic PDE AMS subject classifications. 60H10, 60H35, 65C05, 65G99

Emmanuel Gobet, Céline Labart

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Parabolic Pde Ams | Sequential Control | SIAMNUM 2010 | Variate |

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Added	21 May 2011
Updated	21 May 2011
Type	Journal
Year	2010
Where	SIAMNUM
Authors	Emmanuel Gobet, Céline Labart

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