Numberical Method for Backward Stochastic Differential Equations

Authors
Jin Ma, Protter, Philip Martín, Jaime San Torres, Soledad
Citation
Jin Ma, et al., Numberical Method for Backward Stochastic Differential Equations, Annals of applied probability , 12(1), 2002, pp. 302-316
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
12
Issue
1
Year of publication
2002
Pages
302 - 316
Database
ACNP
SICI code
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.