کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156066 | 958799 | 2010 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
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چکیده انگلیسی
We propose a generic framework for the analysis of Monte Carlo simulation schemes of backward SDEs. The general results are used to re-visit the convergence of the algorithm suggested by Bouchard and Touzi (2004) [6]. By keeping the higher order terms in the expansion of the Skorohod integrals resulting from the Malliavin integration by parts in [6], we introduce a variant of the latter algorithm which allows for a significant reduction of the numerical complexity. We prove the convergence of this improved Malliavin-based algorithm, and derive a bound on the induced error. In particular, we show that the price to pay for our simplification is to use a more accurate localizing function.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 120, Issue 7, July 2010, Pages 1133–1158
Journal: Stochastic Processes and their Applications - Volume 120, Issue 7, July 2010, Pages 1133–1158
نویسندگان
D. Crisan, K. Manolarakis, N. Touzi,