A numerical algorithm for a class of BSDEs via the branching process

Pierre Henry-Labordère, Xiaolu Tan and Nizar Touzi

Stochastic Processes and their Applications, 2014, vol. 124, issue 2, 1112-1140

Abstract: We give a study to the algorithm for semi-linear parabolic PDEs in Henry-Labordère (2012) and then generalize it to the non-Markovian case for a class of Backward SDEs (BSDEs). By simulating the branching process, the algorithm does not need any backward regression. To prove that the numerical algorithm converges to the solution of BSDEs, we use the notion of viscosity solution of path dependent PDEs introduced by Ekren et al. (to appear) [5] and extended in Ekren et al. (2012) [6,7].

Keywords: Numerical algorithm; BSDEs; Branching process; Viscosity solution; Path dependent PDEs (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (10)

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DOI: 10.1016/j.spa.2013.10.005

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