WIAS Preprint No. 1026, (2005)

Forward simulation of backward SDEs


  • Bender, Christian
  • Denk, Robert

2010 Mathematics Subject Classification

  • 65C05 65C30 91B28


  • BSDE, Numerics, Monte-Carlo simulation, Picard iteration, Finance


We introduce a forward scheme to simulate backward SDEs and analyze the error of the scheme. Finally, we demonstrate the strength of the new algorithm by solving some financial problems numerically.

Appeared in

  • Stochastic Process. Appl., 117 (2007) pp. 1793--1812.

Download Documents