A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations

Authors:
Weidong Zhao;Lifeng Chen;Shige Peng
Affiliations:
-;-;-
Venue:
SIAM Journal on Scientific Computing
Year:
2006

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Abstract

In this paper, we propose a new kind of numerical simulation method for backward stochastic differential equations (BSDEs). We discretize the continuous BSDEs on time-space discrete grids, use the Monte Carlo method to approximate mathematical expectations, and use space interpolations to compute values at non-grid points. To demonstrate the accuracy and the effectiveness of our method, several numerical examples are given.