Mini-course: "Backward SDEs and approximation"
Professor Denis Belomestny, University Duisburg-Essen (Germany), Leading research scientist (HSE)
The video of first 3 lectures will be uploaded on our website soon.
The following topics will be covered in the course:
- Introduction into BSDE
- Discrete time approximations of locally Lipschitz and quadratic backward stochastic differential equations
- FBSDEs and Malliavin calculus
- Approximation of discrete BSDE using least-squares regression
- Empirical regression schemes
- Multilevel algorithm for the approximation of BSDEs
- Numerical Solution of BSDE’s using Orthogonal Martingales
- Picard iteration
- Numerical examples