Simulation of BSDEs with jumps by Wiener Chaos expansion

详细信息    查看全文

• 作者：Christel Geiss^a ; ^{christel.geiss@jyu.fi" class="auth_mail" title="E-mail the corresponding author} ; Cé ; line Labart^b ; ^{celine.labart@univ-savoie.fr" class="auth_mail" title="E-mail the corresponding author}
• 关键词：60H10 ; 60J75 ; 60H35 ; 65C05 ; 65G99 ; 60H07
• 刊名：Stochastic Processes and their Applications
• 出版年：2016
• 出版时间：July 2016
• 年：2016
• 卷：126
• 期：7
• 页码：2123-2162
• 全文大小：467 K

文摘

We present an algorithm to solve BSDEs with jumps based on Wiener Chaos Expansion and Picard’s iterations. This paper extends the results given in Briand and Labart (2014) to the case of BSDEs with jumps. We get a forward scheme where the conditional expectations are easily computed thanks to chaos decomposition formulas. Concerning the error, we derive explicit bounds with respect to the number of chaos, the discretization time step and the number of Monte Carlo simulations. We also present numerical experiments. We obtain very encouraging results in terms of speed and accuracy.