Browsing by Subject "Backward stochastic differential equations"

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    • NUMERICAL METHOD FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS BY 
      Ma, Jin; Protter, Philip; San Martín Aristegui, Jaime; Torres, Soledad (Institute of Mathematical Statistics, 2001-05)
      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 ...