Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

Antonelli, 2000, Filtration stability of backward SDE's, Stochastic Anal. Appl., 18, 11, 10.1080/07362990008809652

Bally, 1997, An approximation scheme for BSDEs and applications to control and nonlinear PDE's, Vol. 364

Bally, V., Pagès, G., 2001. A quantization algorithm for solving multi-dimensional optimal stopping problems. Preprint.

Bally, V., Pagès, G., 2002. Error analysis of the quantization algorithm for obstacle problems. Preprint.

Bosq, 1998

Bouchard, 2004, On the Malliavin approach to Monte Carlo approximation of conditional expectations, Finance Stochastics, 8, 45, 10.1007/s00780-003-0109-0

Briand, 2001, Donsker-type theorem for BSDE's, Electron. Commun. Probab., 6, 1, 10.1214/ECP.v6-1030

Carrière, 1996, Valuation of the early-exercise price for options using simulations and nonparametric regression, Insurance: Math. Econom., 19, 19

Chevance, 1997, Numerical methods for backward stochastic differential equations, 232

Clément, 2002, An analysis of a least squares regression method for American option pricing, Finance Stochastics, 6, 449, 10.1007/s007800200071

Coquet, 1998, Stability in D of martingales and backward equations under discretization of filtration, Stochastic Process. Appl., 75, 235, 10.1016/S0304-4149(98)00013-1

Douglas, 1996, Numerical methods for forward–backward stochastic differential equations, Ann. Appl. Probab., 6, 940, 10.1214/aoap/1034968235

Fournié, 2001, Applications of Malliavin calculus to Monte Carlo methods in finance II, Finance Stochastics, 5, 201, 10.1007/PL00013529

Karatzas, 1988, Brownian motion and stochastic calculus, Vol. 113

El Karoui, 1997, Reflected solutions of backward stochastic differential equations and related obstacle problems for PDE's, Ann. Probab., 25, 702, 10.1214/aop/1024404416

El Karoui, 1997, Backward stochastic differential equations in finance, Math. finance, 7, 1, 10.1111/1467-9965.00022

Kloeden, 1992

Kohatsu-Higa, 2002, Variance reduction methods for simulation of densities on Wiener space, SIAM J. Numer. Anal., 40, 431, 10.1137/S0036142901385507

Lions, P.-L., Regnier, H., 2001. Calcul du prix et des sensibilités d'une option américaine par une méthode de Monte Carlo. Preprint.

Longstaff, 2001, Valuing American options by simulation, Rev. Financial Stud., 14, 113, 10.1093/rfs/14.1.113

Ma, 1999, Forward–Backward Stochastic Differential Equations and Their Applications, Vol. 1702

Ma, 1994, Solving forward–backward stochastic differential equations explicitly—a four step scheme, Probab. Theory Related Fields, 98, 339, 10.1007/BF01192258

Ma, 2002, Numerical method for backward stochastic differential equations, Ann. Appl. Probab., 12, 302, 10.1214/aoap/1015961165

Zhang, J., 2001a. Some fine properties of backward stochastic differential equations. Ph.D. Thesis, Purdue University.

Zhang, J., 2001b. A numerical scheme for backward stochastic differential equations: approximation by step processes. Preprint.