{
  "id": "math/0508491",
  "version": "v1",
  "published": "2005-08-25T09:01:37.000Z",
  "updated": "2005-08-25T09:01:37.000Z",
  "title": "A regression-based Monte Carlo method to solve backward stochastic differential equations",
  "authors": [
    "Emmanuel Gobet",
    "Jean-Philippe Lemor",
    "Xavier Warin"
  ],
  "comment": "Published at http://dx.doi.org/10.1214/105051605000000412 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)",
  "journal": "Annals of Applied Probability 2005, Vol. 15, No. 3, 2172-2202",
  "doi": "10.1214/105051605000000412",
  "categories": [
    "math.PR"
  ],
  "abstract": "We are concerned with the numerical resolution of backward stochastic differential equations. We propose a new numerical scheme based on iterative regressions on function bases, which coefficients are evaluated using Monte Carlo simulations. A full convergence analysis is derived. Numerical experiments about finance are included, in particular, concerning option pricing with differential interest rates.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2005-08-25T09:01:37.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H10",
      "60H10",
      "65C30"
    ],
    "keywords": [
      "backward stochastic differential equations",
      "regression-based monte carlo method",
      "monte carlo simulations",
      "full convergence analysis",
      "differential interest rates"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2005math......8491G"
    }
  }
}