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Monte-Carlo methods for forward backward stochastic differential equations in high dimensions

Posted on:2008-10-16Degree:Ph.DType:Dissertation
University:University of Southern CaliforniaCandidate:Villalobos, Jose MFull Text:PDF
GTID:1440390005455860Subject:Mathematics
Abstract/Summary:
We use Monte-Carlo methods to solve Decoupled Forward - Backward Stochastic Differential Equations when the dimension of the state process is higher than three. We focus on the solutions of Parabolic Partial Differential Equations as well as the pricing of American type Options.; Finally, we propose and prove a stopping criterion for the Picard Iteration case.
Keywords/Search Tags:Backward stochastic differential equations, Monte-carlo methods
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