Touzi, Nizar; Manolarakis, Konstantinos; Crisan, Dan - Université Paris-Dauphine - 2010
We propose a generic framework for the analysis of Monte Carlo simulation schemes of backward SDEs. The general results are used to re-visit the convergence of the algorithm suggested by Bouchard and Touzi (2004) [6]. By keeping the higher order terms in the expansion of the Skorohod integrals...