Numberical Method for Backward Stochastic Differential Equations

doi:10.1214/aoap/1015961165

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Home > Journals > Ann. Appl. Probab. > Volume 12 > Issue 1 > Article

February 2002 Numberical Method for Backward Stochastic Differential Equations

Jin Ma, Philip Protter, Jaime San Martín, Soledad Torres

Ann. Appl. Probab. 12(1): 302-316 (February 2002). DOI: 10.1214/aoap/1015961165

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Abstract

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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Jin Ma. Philip Protter. Jaime San Martín. Soledad Torres. "Numberical Method for Backward Stochastic Differential Equations." Ann. Appl. Probab. 12 (1) 302 - 316, February 2002. https://doi.org/10.1214/aoap/1015961165

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Published: February 2002

First available in Project Euclid: 12 March 2002

zbMATH: 1017.60074

MathSciNet: MR1890066

Digital Object Identifier: 10.1214/aoap/1015961165

Subjects:

Primary: 60G35 , 60H20 , 60H99 , 65C99 , 65L99

Keywords: Backward stochastic differential equations , numerical methods

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Vol.12 • No. 1 • February 2002

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Jin Ma, Philip Protter, Jaime San Martín, Soledad Torres "Numberical Method for Backward Stochastic Differential Equations," The Annals of Applied Probability, Ann. Appl. Probab. 12(1), 302-316, (February 2002)

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