Numerical methods for backward stochastic differential equations: A survey
Author:
Affiliation:
1. Appian Corporation, Australia
2. Graduate School of Arts and Sciences / Mathematics and Informatics Center, The University of Tokyo, Japan
3. Bank of Japan, Japan
4. Graduate School of Economics, Hitotsubashi University, Japan
Publisher
Institute of Mathematical Statistics
Subject
Statistics and Probability
Reference333 articles.
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4. B. Bouchard and N. Touzi. Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. Stochastic Processes and their Applications, 111(2):175–206, 2004.
5. P. Briand and C. Labart. Simulation of BSDEs by Wiener chaos expansion. The Annals of Applied Probability, 24(3):1129–1171, 2014.
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