Discretizing a backward stochastic differential equation

DOI10.1155/S0161171202110234zbMath1006.60050WikidataQ115243340 ScholiaQ115243340MaRDI QIDQ1854133

Yinnan Zhang, Wei An Zheng

Publication date: 13 January 2003

Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/49808

zbMATH Keywords

numerical methoddiscretization schemesemi-linear partial differential equationsPardoux-Peng's nonlinear backward stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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