Discretizing a backward stochastic differential equation

Yinnan Zhang and Weian Zheng

International Journal of Mathematics and Mathematical Sciences, 2002, vol. 32, 1-14

Abstract:

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.

Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jijmms:357319

DOI: 10.1155/S0161171202110234

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