Article2002

Numberical Method for Backward Stochastic Differential Equations

Jin Ma · Philip E. Protter · Jaime San Martı́n

154 citations0/0 files storedThe Annals of Applied Probability

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Stochastic processes and financial applications Numerical methods for differential equations Fuzzy Systems and Optimization

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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References

2005Stochastic Integration and Differential Equations 1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 1990Stochastic Integration and Differential Equations 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme 1997Backward stochastic differential equations with continuous coefficient 1996Numerical methods for forward-backward stochastic differential equations

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