A new numerical method for 1-D backward stochastic differential equations without using conditional expectations

DOI10.1515/ROSE-2020-2030MaRDI QIDQ778246zbMATH OpenOpenAlexFDO

Authors Aissa Sghir, Sokaina Hadiri

Publication date 2 July 2020

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose-2020-2030

zbMATH Keywords

Monte Carlo simulationbackward stochastic differential equationpartial differential equationdiscrete time approximationFeynman-Kac's formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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• scientific article; zbMATH DE number 1069628 (Why is no real title available?)
• scientific article; zbMATH DE number 1066322 (Why is no real title available?)
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(4)

• A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations
• A linear numerical scheme for nonlinear BSDEs with uniformly continuous coefficients
• Numerical method for backward stochastic differential equations
• Numerical methods for backward stochastic differential equations: a survey

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