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.
Open Access
Discretizing a backward stochastic differential equation
Received24 Oct 2001
Copyright
Copyright © 2002 Hindawi Publishing Corporation. This is an open access article distributed under the
Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.