A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations
Abstract The purpose of this paper is to investigate the numerical solutions to two-dimensional forward backward stochastic differential equations(FBSDEs). Based on the Fourier cos-cos transform, the approximations of conditional expectations and their errors are studied with conditional characteris...
| Main Authors: | , , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2021-04-01
|
| Series: | Advances in Difference Equations |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s13662-021-03361-5 |