A Numerical Scheme For High-dimensional Backward Stochastic Differential Equation Based On Modified Multi-level Picard Iteration

2019/05/03 by Pak, Chol-Kyu, Kim, Mun-Chol, O, Hun
#FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR)

paper · doi:10.48550/arxiv.1905.01098

Abstract

In this paper, we propose a new kind of numerical scheme for high-dimensional backward stochastic differential equations based on modified multi-level Picard iteration. The proposed scheme is very similar to the original multi-level Picard iteration but it differs on underlying Monte-Carlo sample generation and enables an improvement in the sense of complexity. We prove the explicit error estimates for the case where the generator does not depend on control variate.

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