Numberical method for backward stochastic differential equations
The Annals of Applied Probability, 2002•projecteuclid.org
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.
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.
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.
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