Numberical Method for Backward Stochastic Differential Equations
Authors:
- Jin MaJMJin Ma
- Philip ProtterPPPhilip Protter
- Jaime San MartínJMJaime San Martín
- Soledad TorresSTSoledad Torres
Open Access
- 1 February 2002
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Applied Probability
- Vol. 12 (1) , 302-316
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.Keywords
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