Discretizing a backward stochastic differential equation (Q1854133)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Discretizing a backward stochastic differential equation |
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Discretizing a backward stochastic differential equation (English)
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13 January 2003
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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.
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Pardoux-Peng's nonlinear backward stochastic differential equation
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discretization scheme
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numerical method
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semi-linear partial differential equations
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