Title of article :
On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights
Author/Authors :
Crisan، نويسنده , , D. and Manolarakis، نويسنده , , K. and Touzi، نويسنده , , N.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2010
Pages :
26
From page :
1133
To page :
1158
Abstract :
We propose a generic framework for the analysis of Monte Carlo simulation schemes of backward SDEs. The general results are used to re-visit the convergence of the algorithm suggested by Bouchard and Touzi (2004) [6]. By keeping the higher order terms in the expansion of the Skorohod integrals resulting from the Malliavin integration by parts in [6], we introduce a variant of the latter algorithm which allows for a significant reduction of the numerical complexity. We prove the convergence of this improved Malliavin-based algorithm, and derive a bound on the induced error. In particular, we show that the price to pay for our simplification is to use a more accurate localizing function.
Keywords :
BSDEs , Weak approximations , Monte Carlo methods , Malliavin Calculus
Journal title :
Stochastic Processes and their Applications
Serial Year :
2010
Journal title :
Stochastic Processes and their Applications
Record number :
1578286
Link To Document :
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