Numerical Method for Backward Stochastic Differential Equations

نویسندگان

  • JIN MA
  • PHILIP PROTTER
چکیده

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.

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تاریخ انتشار 2002