A linear numerical scheme for nonlinear BSDEs with uniformly continuous coefficients

DOI10.1155/S1110757X04401168zbMath1082.60050MaRDI QIDQ2570902

Omid Solaymani Fard, Ali Vahidian Kamyad

Publication date: 31 October 2005

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/52167

zbMATH Keywords

backward stochastic differential equation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

49N10: Linear-quadratic optimal control problems

41A10: Approximation by polynomials