The Steepest Descent Method for Forward-Backward SDEs
The Steepest Descent Method for Forward-Backward SDEs
This paper aims to open a door to Monte-Carlo methods for numerically solving Forward-Backward SDEs, without computing over all Cartesian grids as usually done in the literature. We transform the FBSDE to a control problem and propose the steepest descent method to solve the latter one. We show that the …