On the numerical solution of Backward Stochastic Differential Equations
We study the problem of the numerical solution to BSDEs from a weak approximation viewpoint. The first step is to build the framework that represents the approximating step processes (Yp, Zp) as iterations of a certain family of operators. We then state an assumption that catches the error induced o...
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Imperial College London
2007
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.486909 |