NUMERICAL METHOD FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS BY

Author	dc.contributor.author	Ma, Jin
Author	dc.contributor.author	Protter, Philip	es_CL
Author	dc.contributor.author	San Martín Aristegui, Jaime	es_CL
Author	dc.contributor.author	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	dc.identifier.uri	https://repositorio.uchile.cl/handle/2250/126038
General note	dc.description	Artículo de publicación ISI	en_US
Abstract	dc.description.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.	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.	en_US
Lenguage	dc.language.iso	en
Publisher	dc.publisher	Institute of Mathematical Statistics	en_US
Type of license	dc.rights	Attribution-NonCommercial-NoDerivs 3.0 Chile	*
Link to License	dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/cl/	*
Keywords	dc.subject	Backward stochastic differential equations	en_US
Título	dc.title	NUMERICAL METHOD FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS BY	en_US
Document type	dc.type	Artículo de revista

Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivs 3.0 Chile