Artículo de revista
NUMERICAL METHOD FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS BY
Fecha
2001-05Registro en:
The Annals of Applied Probability 2002, Vol. 12, No. 1, 302–316
1050-5164
Autor
Ma, Jin
Protter, Philip
San Martín Aristegui, Jaime
Torres, Soledad
Institución
Resumen
We propose a method for numerical approximation of backward stochastic
differential equations. Our method allows the final condition of the equation
to be quite general and simple to implement. It relies on an approximation
of Brownian motion by simple random walk.