A fully quantization-based scheme for FBSDEs

Giorgia Callegaro, Alessandro Gnoatto and Martino Grasselli

Applied Mathematics and Computation, 2023, vol. 441, issue C

Abstract: We propose a quantization-based numerical scheme for a family of decoupled forward-backward stochastic differential equations. We simplify the scheme for the control in [1] so that our approach is fully based on recursive marginal quantization and does not involve any Monte Carlo simulation for the computation of conditional expectations. We analyse in detail the numerical error of our scheme and provide some examples of application to financial mathematics.

Keywords: FBSDEs; Quantization; Numerical Scheme (search for similar items in EconPapers)
JEL-codes: C02 C63 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:441:y:2023:i:c:s0096300322007251

DOI: 10.1016/j.amc.2022.127666

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