A linear numerical scheme for nonlinear BSDEs with uniformly continuous coefficients

DOI10.1155/S1110757X04401168MaRDI QIDQ2570902zbMATH OpenOpenAlexFDO

Authors Omid Solaymani Fard, A. V. 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

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Approximation by polynomials (41A10) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

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(6)

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• Analytical approximation for non-linear FBSDEs with perturbation scheme
• A numerical scheme to solve nonlinear BSDEs with Lipschitz and non-Lipschitz coefficients

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