Imperial College London
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ProfessorDanCrisan

Faculty of Natural Sciences, Department of Mathematics

Professor of Mathematics
 
 
 
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Contact

 

+44 (0)20 7594 8489d.crisan Website

 
 
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Location

 

670Huxley BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Crisan:2014:10.1214/13-AAP932,
author = {Crisan, D and Manolarakis, K},
doi = {10.1214/13-AAP932},
journal = {Annals of Applied Probability},
pages = {652--678},
title = {Second order discretization of backward sdes and simulation with the cubature method},
url = {http://dx.doi.org/10.1214/13-AAP932},
volume = {24},
year = {2014}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We propose a second order discretization for backward stochastic differential equations (BSDEs) with possibly nonsmooth boundary data. When implemented, the discretization method requires essentially the same computational effort with the Euler scheme for BSDEs of Bouchard and Touzi [Stochastic Process. Appl. 111 (2004) 175-206] and Zhang [Ann. Appl. Probab. 14 (2004) 459-488]. However, it enjoys a second order asymptotic rate of convergence, provided that the coefficients of the equation are sufficiently smooth. In the second part of the paper, we combine this discretization with higher order cubature formulas on Wiener space to produce a fully implementable second order scheme. © Institute of Mathematical Statistics, 2014.
AU  - Crisan,D
AU  - Manolarakis,K
DO  - 10.1214/13-AAP932
EP  - 678
PY  - 2014///
SN  - 1050-5164
SP  - 652
TI  - Second order discretization of backward sdes and simulation with the cubature method
T2  - Annals of Applied Probability
UR  - http://dx.doi.org/10.1214/13-AAP932
VL  - 24
ER  -
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