A Fully Quantization-based Scheme for FBSDEs

Giorgia Callegaro (), Alessandro Gnoatto and Martino Grasselli ()
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Giorgia Callegaro: Università degli Studi di Padova - Dipartimento di Matematica
Martino Grasselli: Dipartimento di Matematica - Università degli Studi di Padova

No 07/2021, Working Papers from University of Verona, Department of Economics

Abstract: We propose a quantization-based numerical scheme for a family of decoupled FBSDEs. We simplify the scheme for the control in Pagès and Sagna (2018) 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 we show through some examples the performance of the whole procedure, which proves to be very effective in view of financial applications.

Keywords: BSDEs; Quantization; Numerical Scheme. (search for similar items in EconPapers)
JEL-codes: C02 C63 (search for similar items in EconPapers)
Pages: 23
Date: 2021-04
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Working Paper: A Fully Quantization-based Scheme for FBSDEs (2021)
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