Numberical Method for Backward Stochastic Differential Equations
Ma, Jin ; Protter, Philip ; San Martín, Jaime ; Torres, Soledad
Ann. Appl. Probab., Tome 12 (2002) no. 1, p. 302-316 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
We propose a method for numerical approximation of backward stochastic differential equations. Our method allows the final condition of the equation to be quite general and simple to implement. It relies on an approximation of Brownian motion by simple random walk.
Publié le : 2002-02-14
Classification:  Backward stochastic differential equations,  numerical methods,  60H20,  65C99,  65L99,  60H99,  60G35 
@article{1015961165,
     author = {Ma, Jin and Protter, Philip and San Mart\'\i n, Jaime and Torres, Soledad},
     title = {Numberical Method for Backward Stochastic Differential
		 Equations},
     journal = {Ann. Appl. Probab.},
     volume = {12},
     number = {1},
     year = {2002},
     pages = { 302-316},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1015961165}
}

Ma, Jin; Protter, Philip; San Martín, Jaime; Torres, Soledad. Numberical Method for Backward Stochastic Differential
		 Equations. Ann. Appl. Probab., Tome 12 (2002) no. 1, pp.  302-316. http://gdmltest.u-ga.fr/item/1015961165/