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A numerical algorithm for a class of BSDEs via branching process

We generalize the algorithm for semi-linear parabolic PDEs in Henry-Labordère (2012) to the non-Markovian case for a class of Backward SDEs (BSDEs). By simulating the branching process, the algorithm does not need any backward regression. To prove that the numerical algorithm converges to the solution of BSDEs, we use the notion of viscosity solution of path dependent PDEs introduced by Ekren, Keller, Touzi and Zhang (2012) and extended in Ekren, Touzi and Zhang (2013).

preprint2013arXivOpen access
Pierre Henry-LabordereXiaolu TanNizar Touzi
math.PRmath.NA
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Pierre Henry-LabordereXiaolu TanNizar Touzi

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