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

作者：Henry Labordere Pierre; Tan Xiaolu^*; Touzi Nizar

来源：Stochastic Processes and Their Applications, 2014, 124(2): 1112-1140.

DOI：10.1016/j.spa.2013.10.005

• Numerical algorithm
• BSDEs
• Branching process
• Viscosity solution
• Path dependent PDEs

We give a study to the algorithm for semi-linear parabolic PDEs in Henry-Labordere (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].

• 出版日期2014-2