NUMERICAL METHOD FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS BY

dc.creatorMa, Jin
dc.creatorProtter, Philip
dc.creatorSan Martín Aristegui, Jaime
dc.creatorTorres, Soledad
dc.date.accessioned2014-01-08T13:55:28Z
dc.date.available2014-01-08T13:55:28Z
dc.date.created2014-01-08T13:55:28Z
dc.date.issued2001-05
dc.identifierThe Annals of Applied Probability 2002, Vol. 12, No. 1, 302–316
dc.identifier1050-5164
dc.identifierhttps://repositorio.uchile.cl/handle/2250/126038
dc.description.abstractWe 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.
dc.languageen
dc.publisherInstitute of Mathematical Statistics
dc.rightshttp://creativecommons.org/licenses/by-nc-nd/3.0/cl/
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Chile
dc.subjectBackward stochastic differential equations
dc.titleNUMERICAL METHOD FOR BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS BY
dc.typeArtículo de revista


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