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doi:10.22028/D291-30266
Title: | Iterative Improvement of Lower and Upper Bounds for Backward SDEs |
Author(s): | Bender, Christian Gärtner, Christian Schweizer, Nikolaus |
Language: | English |
Title: | SIAM journal on scientific computing |
Volume: | 39 |
Issue: | 2 |
Startpage: | B442 |
Endpage: | B466 |
Publisher/Platform: | Society for Industrial and Applied Mathematics |
Year of Publication: | 2017 |
Publikation type: | Journal Article |
Abstract: | We introduce a novel numerical approach for a class of stochastic dynamic programs which arise as discretizations of backward stochastic differential equations or semilinear partial differential equations. Solving such dynamic programs numerically requires the approximation of nested conditional expectations, i.e., iterated integrals of previous approximations. Our approach allows us to compute and iteratively improve upper and lower bounds on the true solution, starting from an arbitrary and possibly crude input approximation. We demonstrate the benefits of our approach in a high-dimensional financial application. |
DOI of the first publication: | 10.1137/16M1081348 |
URL of the first publication: | https://epubs.siam.org/doi/abs/10.1137/16M1081348?journalCode=sjoce3 |
Link to this record: | hdl:20.500.11880/28708 http://dx.doi.org/10.22028/D291-30266 |
ISSN: | 1095-7197 1064-8275 |
Date of registration: | 17-Feb-2020 |
Third-party funds sponsorship: | Deutsche Forschungsgemeinschaft |
Sponsorship ID: | BE3933/5-1 |
Faculty: | MI - Fakultät für Mathematik und Informatik |
Department: | MI - Mathematik |
Professorship: | MI - Prof. Dr. Christian Bender |
Collections: | SciDok - Der Wissenschaftsserver der Universität des Saarlandes |
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