A Multi-Step Algorithm for BSDEs Based On a Predictor-Corrector Scheme and Least-Squares Monte Carlo

Qiang Han () and Shaolin Ji ()
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Qiang Han: Shandong University
Shaolin Ji: Shandong University

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 4, 2403-2426

Abstract: Abstract We design a multi-step predictor-corrector scheme for backward stochastic differential equations (BSDEs). This scheme tries its best to retain the simplicity and improve its convergence rate as much as possible. We investigate the stability and rigorously deduce the error estimates of this scheme. Numerical experiments are compared with the scheme given by Gobet et al. (Math Comput, 85(299): 1359-1391, 2016a) and are given to illustrate that the multi-step predictor-corrector scheme is an efficient probabilistic numerical method.

Keywords: Backward stochastic differential equation; Multi-step predictor-corrector scheme; Stability; Error estimate; 65C05; 68U20; 60H35 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11009-022-09943-4

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