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Forward and backward simulation of Euler scheme

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No logo availableCentre International de Rencontres Mathématiques (CIRM)
 Gobet, Emmanuel

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Forward and backward simulation of Euler scheme
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31
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CC Attribution - NonCommercial - NoDerivatives 2.0 Generic:
You are free to use, copy, distribute and transmit the work or content in unchanged form for any legal and non-commercial purpose as long as the work is attributed to the author in the manner specified by the author or licensor.
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We analyse how reverting Random Number Generator can be efficiently used to save memory in solving dynamic programming equation. For SDEs, it takes the form of forward and backward Euler scheme. Surprisingly the error induced by time reversion is of order 1.