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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

39 Citations (Scopus)

Résumé

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.

langue originale	Anglais
Pages (de - à)	257-277
Nombre de pages	21
journal	SIAM Journal on Numerical Analysis
Volume	48
Numéro de publication	1
Les DOIs	https://doi.org/10.1137/090755060
état	Publié - 1 janv. 2010
Modification externe	Oui

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10.1137/090755060

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title = "Solving BSDE with adaptive control variate",

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.",

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AB - 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.

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KW - Backward stochastic differential equations

KW - Semilinear parabolic PDE

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Solving BSDE with adaptive control variate

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