Numerical method for backward stochastic differential equations

DOI10.1214/AOAP/1015961165zbMath1017.60074OpenAlexW2039366144MaRDI QIDQ1872402

Soledad Torres, Jaime San Martín, Jin Ma, Philip E. Protter

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1015961165

zbMATH Keywords

numerical methodsbackward stochastic differential equations

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

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