Discretizing a backward stochastic differential equation

Discretizing a backward stochastic differential equation

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.

Bibliographic Details
Main Authors: Yinnan Zhang, Weian Zheng
Format: Article
Language:English
Published: Hindawi Limited 2002-01-01
Series:International Journal of Mathematics and Mathematical Sciences
Online Access:http://dx.doi.org/10.1155/S0161171202110234
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spelling doaj-049d813b9be14508b760a49265374b042020-11-24T20:40:15ZengHindawi LimitedInternational Journal of Mathematics and Mathematical Sciences0161-17121687-04252002-01-0132210311610.1155/S0161171202110234Discretizing a backward stochastic differential equationYinnan Zhang0Weian Zheng1Department of Mathematics, Fudan University, Shanghai, ChinaDepartment of Statistics, East China Normal University, Shanghai, ChinaWe 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.http://dx.doi.org/10.1155/S0161171202110234
collection DOAJ
language English
format Article
sources DOAJ
author Yinnan Zhang
Weian Zheng
spellingShingle Yinnan Zhang
Weian Zheng
Discretizing a backward stochastic differential equation
International Journal of Mathematics and Mathematical Sciences
author_facet Yinnan Zhang
Weian Zheng
author_sort Yinnan Zhang
title Discretizing a backward stochastic differential equation
title_short Discretizing a backward stochastic differential equation
title_full Discretizing a backward stochastic differential equation
title_fullStr Discretizing a backward stochastic differential equation
title_full_unstemmed Discretizing a backward stochastic differential equation
title_sort discretizing a backward stochastic differential equation
publisher Hindawi Limited
series International Journal of Mathematics and Mathematical Sciences
issn 0161-1712
1687-0425
publishDate 2002-01-01
description 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.
url http://dx.doi.org/10.1155/S0161171202110234
work_keys_str_mv AT yinnanzhang discretizingabackwardstochasticdifferentialequation
AT weianzheng discretizingabackwardstochasticdifferentialequation
_version_ 1716827677418061824

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