NUMERICAL METHOD FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS BY
Author
dc.contributor.author
Ma, Jin
Author
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Protter, Philip
es_CL
Author
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San Martín Aristegui, Jaime
es_CL
Author
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Torres, Soledad
es_CL
Admission date
dc.date.accessioned
2014-01-08T13:55:28Z
Available date
dc.date.available
2014-01-08T13:55:28Z
Publication date
dc.date.issued
2001-05
Cita de ítem
dc.identifier.citation
The Annals of Applied Probability 2002, Vol. 12, No. 1, 302–316
en_US
Identifier
dc.identifier.issn
1050-5164
Identifier
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https://repositorio.uchile.cl/handle/2250/126038
General note
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Artículo de publicación ISI
en_US
Abstract
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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.
en_US
Patrocinador
dc.description.sponsorship
NSF Grant DMS-99-71720.
NSF Grant DMS-99-71720 and NSA Grant 904-00-1-0035.
FONDECYT Grant 1000270.