Abstract
We present an algorithm to solve BSDEs based on Wiener chaos expansion and Picard’s iterations. We get a forward scheme where the conditional expectations are easily computed thanks to chaos decomposition formulas. We use the Malliavin derivative to compute
Citation
Philippe Briand. Céline Labart. "Simulation of BSDEs by Wiener chaos expansion." Ann. Appl. Probab. 24 (3) 1129 - 1171, June 2014. https://doi.org/10.1214/13-AAP943
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