Approximation scheme for solutions of backward stochastic differential equations via the representation theorem
type: Item
instance of: scholarly article
title: Approximation scheme for solutions of backward stochastic differential equations via the representation theorem
zbMATH Open document ID: 1134.60349
author: Mohamed El Otmani
published in: Annales Mathématiques Blaise Pascal
publication date: 2008-02-05T00:00:00Z
full work available at URL: http://www.numdam.org/item
full work available at URL: https://eudml.org/doc/10526
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 65C35
Mathematics Subject Classification ID: 60H35
zbMATH DE Number: 5232618
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W2079519029
cites work: Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
cites work: Valuation of the early-exercise price for options using simulations and nonparametric regression
cites work: Q4356591
cites work: Backward stochastic differential equations with reflection and Dynkin games
cites work: Numerical methods for forward-backward stochastic differential equations
cites work: Backward Stochastic Differential Equations in Finance
cites work: A regression-based Monte Carlo method to solve backward stochastic differential equations
cites work: Zero-sum stochastic differential games and backward equations
cites work: Valuing American Options by Simulation: A Simple Least-Squares Approach
cites work: Solving forward-backward stochastic differential equations explicitly -- a four step scheme
cites work: Representation theorems for backward stochastic differential equations
cites work: Representations and regularities for solutions to BSDEs with reflections
cites work: Adapted solution of a backward stochastic differential equation
cites work: A numerical scheme for BSDEs
DOI: 10.5802/AMBP.212
description: scientific article; zbMATH DE number 5232618