A Regress-Later Algorithm for Backward Stochastic Differential Equations

Abstract

This work deals with the numerical approximation of backward stochastic differential equations (BSDEs). We propose a new algorithm which is based on the regression-later approach and the least squares Monte Carlo method. We give some conditions under which our numerical algorithm convergences and solve two practical experiments to illustrate its performance.

Cited by in corpus (1)

• Regress-Later Monte Carlo for optimal control of Markov processes