Solving BSDE with Adaptive Control Variate

We present and analyze an algorithm to solve numerically BSDEs based on Picard's iterations and on a sequential control variate technique. Its convergence is geometric. Moreover, the solution provided by our algorithm is regular both w.r.t. time and space. Key words. Backward stochastic differential equations, adaptive control variate, semilinear parabolic PDE AMS subject classifications. 60H10, 60H35, 65C05, 65G99

• Type: Journal
• Year: 2010
• Where: SIAMNUM
• Authors: Emmanuel Gobet, Céline Labart
• Keywords: Parabolic Pde Ams, Sequential Control, SIAMNUM 2010, Variate