Discretizing a backward stochastic differential equation

Autor: Yinnan Zhang, Weian Zheng
Jazyk: angličtina
Rok vydání: 2002
Předmět:
Zdroj: International Journal of Mathematics and Mathematical Sciences, Vol 32, Iss 2, Pp 103-116 (2002)
Druh dokumentu: article
ISSN: 0161-1712
1687-0425
01611712
DOI: 10.1155/S0161171202110234
Popis: We show a simple method to discretize Pardoux-Peng's nonlinear backward stochastic differential equation. This discretization scheme also gives a numerical method to solve a class of semi-linear PDEs.
Databáze: Directory of Open Access Journals
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