Graduiertenkolleg Angewandte Algorithmische Mathematik
Graduiertenseminar
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Graduiertenkolleg Angewandte Algorithmische Mathematik Graduiertenseminar |
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| We first give a short introduction to coupled forward-backward SDEs (FBSDEs) and discuss some applications to finance. Then we introduce a numerical scheme to simulate FBSDEs under weak coupling or monotonicity conditions. In particular we discuss convergence of a time discretization and a Markovian iteration. The iteration differs from standard Picard iterations for FBSDEs in that the dimension of the underlying Markovian process does not increase with the number of iterations. This feature seems to be indispensable for an efficient iterative scheme from a numerical point of view. We finally suggest a fully explicit numerical algorithm and present some numerical examples with up to 10-dimensional state space. The talk is based on joint work with Jianfeng Zhang (USC, Los Angeles). |
| Andrea Kampfer (kampfer |
ma.tum.de)