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Monte Carlo methods of forward backward stochastic differential equations in high dimensions

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Title	Monte Carlo methods of forward backward stochastic differential equations in high dimensions
Author	Villalobos, Jose M.
Author email	jvillalo@usc.edu
Degree	Doctor of Philosophy
Document type	Dissertation
Degree program	Applied Mathematics
School	College of Letters, Arts and Sciences
Date defended/completed	2007-05-04
Date submitted	2007
Restricted until	Unrestricted
Date published	2007-06-28
Advisor (committee chair)	Zhang, Jianfeng
Advisor (committee member)	Moon, Roger H. Goldstein, Larry
Abstract	We use Monte-Carlo methods to solve Decoupled Forward - Backward Stochastic Differential Equations when the dimension of the state process is higher than three. We focus on the solutions of parabolic Partial Differential Equations as well as the pricing of American type Options. -- Finally, we propose and prove a stopping criterion for the Picard iteration case.
Keyword	finance; mathematics
Language	English
Part of collection	University of Southern California dissertations and theses
Publisher (of the original version)	University of Southern California
Place of publication (of the original version)	Los Angeles, California
Publisher (of the digital version)	University of Southern California. Libraries
Type	texts
Legacy record ID	usctheses-m565
Rights	Villalobos, Jose M.
Repository name	Libraries, University of Southern California
Repository address	Los Angeles, California
Repository email	http://www.usc.edu/isd/libraries/services/ask_a_librarian/email/
Filename	etd-Villalobos-20070628
Archival file	uscthesesreloadpub_Volume32/etd-Villalobos-20070628.pdf

Title	Page 1
Full text	MONTE-CARLO METHODS FOR FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS IN HIGH DIMENSIONS by Jose M. Villalobos A Dissertation Presented to the FACULTY OF THE GRADUATE SCHOOL UNIVERSITY OF SOUTHERN CALIFORNIA In Partial Fulfillment of the Requirements for the Degree DOCTOR OF PHILOSOPHY (APPLIED MATHEMATICS) August 2007 Copyright 2007 Jose M. Villalobos

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