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Pré-Publication, Document De Travail Année : 2018

Solving fully coupled FBSDEs by minimizing a directly calculable error functional

Résumé

We present a new scheme for approximating solutions of forward-backward stochastic differential equations (FBSDEs). The scheme is particularly suitable for fully coupled FBSDEs. The approximation relies on a piecewise in time approximation by minimizing an error functional that measures how well a process triplet satifies the FBSDE. The error functional is minimized in a finite-dimensional linear space based on iterated integrals. We provide sufficient conditions for the approximations to converge at the rate 1/sqrt(N), where N is the time discretization parameter.
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Dates et versions

hal-01915772 , version 1 (08-11-2018)

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  • HAL Id : hal-01915772 , version 1

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Stefan Ankirchner, Alexander Fromm. Solving fully coupled FBSDEs by minimizing a directly calculable error functional. 2018. ⟨hal-01915772⟩
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