Solving BSDE with adaptive control variate

Emmanuel Gobet; Céline Labart

doi:10.1137/090755060

Solving BSDE with adaptive control variate

Emmanuel Gobet
, Céline Labart

LTHE (UMR 5564 CNRS/IRD/Université de Grenoble)
Ecole polytechnique
INRIA Rocquencourt

Research output: Contribution to journal › Article › peer-review

39 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	257-277
Number of pages	21
Journal	SIAM Journal on Numerical Analysis
Volume	48
Issue number	1
DOIs	https://doi.org/10.1137/090755060
Publication status	Published - 1 Jan 2010
Externally published	Yes

Keywords

Adaptive control variate
Backward stochastic differential equations
Semilinear parabolic PDE

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10.1137/090755060

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KW - Backward stochastic differential equations

KW - Semilinear parabolic PDE

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Solving BSDE with adaptive control variate

Abstract

Keywords

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