Branching diffusion simulation for stochastic control problems with friction


Using branching processes, we give a numerical method for the simulation of solutions of systems of nonlinear PDEs where the nonlinearity is polynomial on the unknown functions. Under some integrability assumption we show the... [ view full abstract ]


  1. Ibrahim Ekren (University of Michigan)
  2. Max Reppen (ETH Zurich)

Topic Areas

Numerical Methods , Partial Differential Equations , Transaction Costs


TH-A-EM » Numerics, PDEs and Option Pricing (11:30 - Thursday, 19th July, Emmet)

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