Discretizing a backward stochastic differential equation (Q1854133): Difference between revisions
From MaRDI portal
Created a new Item |
Set profile property. |
||
| (4 intermediate revisions by 3 users not shown) | |||
| Property / author | |||
| Property / author: Wei An Zheng / rank | |||
| Property / author | |||
| Property / author: Wei An Zheng / rank | |||
Normal rank | |||
| Property / Wikidata QID | |||
| Property / Wikidata QID: Q115243340 / rank | |||
Normal rank | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| links / mardi / name | links / mardi / name | ||
Latest revision as of 04:56, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discretizing a backward stochastic differential equation |
scientific article |
Statements
Discretizing a backward stochastic differential equation (English)
0 references
13 January 2003
0 references
Summary: We show a simple method to discretize Pardoux-Peng's nonlinear backward stochastic differential equation. This discretization scheme also gives a numerical method to solve a class of semi-linear PDEs.
0 references
Pardoux-Peng's nonlinear backward stochastic differential equation
0 references
discretization scheme
0 references
numerical method
0 references
semi-linear partial differential equations
0 references
