Discretizing a backward stochastic differential equation (Q1854133)

From MaRDI portal
Revision as of 05:56, 5 March 2024 by Import240304020342 (talk | contribs) (Set profile property.)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
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
    0 references
    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

    Identifiers