NUMERICAL METHOD FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS BY
Ma_Jin.pdf (138.4Kb)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.
General note
Artículo de publicación ISI
Patrocinador
NSF Grant DMS-99-71720.
NSF Grant DMS-99-71720 and NSA Grant 904-00-1-0035.
FONDECYT Grant 1000270.
Quote Item
The Annals of Applied Probability 2002, Vol. 12, No. 1, 302–316
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