Numerical methods based on time discretization and estimation of conditional expectations for solving backward stochastic differential equations (BSDEs) have been the object of considerable research, particularly in view of the applications to finance. We introduce and implement a simple control variate technique to reduce the simulation error of the conditional expectation estimates in BSDE methods. These modifications increase the accuracy of the existing algorithms without additional computational cost.
Les méthodes numériques basées sur la discrétisation de pas de temps et lʼestimation dʼespérances conditionnelles pour la résolution dʼéquations différentielles stochastiques rétrogrades (BSDEs) ont fait lʼobjet dʼétudes récentes, en particulier pour leurs applications dans le domaine de la finance. Nous proposons ici une technique basée sur les variables de contrôle permettant de réduire lʼerreur dans la simulation des estimateurs dʼespérance conditionnelle. Ces modifications peuvent être adaptées facilement aux algorithmes connus pour augmenter leur efficacité, avec sensiblement le même temps de calcul.
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Samu Alanko 1; Marco Avellaneda 1, 2
@article{CRMATH_2013__351_3-4_135_0, author = {Samu Alanko and Marco Avellaneda}, title = {Reducing variance in the numerical solution of {BSDEs}}, journal = {Comptes Rendus. Math\'ematique}, pages = {135--138}, publisher = {Elsevier}, volume = {351}, number = {3-4}, year = {2013}, doi = {10.1016/j.crma.2013.02.010}, language = {en}, }
Samu Alanko; Marco Avellaneda. Reducing variance in the numerical solution of BSDEs. Comptes Rendus. Mathématique, Volume 351 (2013) no. 3-4, pp. 135-138. doi : 10.1016/j.crma.2013.02.010. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2013.02.010/
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