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A fully quantization-based scheme for FBSDEs
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DOI：10.1016/j.amc.2022.127666.png)
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摘要
En 中文
We propose a quantization-based numerical scheme for a family of decoupled forward -backward stochastic differential equations. We simplify the scheme for the control in [1] so that our approach is fully based on recursive marginal quantization and does not involve any Monte Carlo simulation for the computation of conditional expectations. We analyse in detail the numerical error of our scheme and provide some examples of application to financial mathematics.(c) 2022 Elsevier Inc. All rights reserved.
Keyword:
FBSDEs
Quantization
Numerical Scheme
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期刊
IF:
3.4
论文数:
2.3W
被引数:
3.3W
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