Cubature method to solve BSDEs: Error expansion and complexity control
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- by Jean-Francois Chassagneux and Camilo A. Garcia Trillos HTML | PDF
- Math. Comp. 89 (2020), 1895-1932 Request permission
Abstract:
We obtain an explicit error expansion for the solution of Backward Stochastic Differential Equations (BSDEs) using the cubature on Wiener spaces method. The result is proved under a mild strengthening of the assumptions needed for the application of the cubature method. The explicit expansion can then be used to construct implementable higher order approximations via Richardson-Romberg extrapolation. To allow for an effective efficiency improvement of the interpolated algorithm, we introduce an additional projection on finite grids through interpolation operators. We study the resulting complexity reduction in the case of the linear interpolation.References
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Additional Information
- Jean-Francois Chassagneux
- Affiliation: Laboratoire de Probabilités, Statistique et Modélisation, Université Paris Diderot, 5 Rue Thomas Mann, 75013 Paris, France
- MR Author ID: 810835
- Email: chassagneux@math.univ-paris-diderot.fr
- Camilo A. Garcia Trillos
- Affiliation: Department of Mathematics, University College London, Gower Street, Bloomsbury, London WC1E 6BT, United Kingdom
- MR Author ID: 1096828
- Email: camilo.garcia@ucl.ac.uk
- Received by editor(s): February 3, 2017
- Received by editor(s) in revised form: January 18, 2019
- Published electronically: March 10, 2020
- Additional Notes: The second author’s research was supported in part by OpenGamma Ltd.
- © Copyright 2020 American Mathematical Society
- Journal: Math. Comp. 89 (2020), 1895-1932
- MSC (2010): Primary 60H35, 65C30
- DOI: https://doi.org/10.1090/mcom/3522
- MathSciNet review: 4081922