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Numerical methods and programming, 2003, Volume 4, Issue 1, Pages 336–347 (Mi vmp728)  
On a method for approximate solving a backward stochastic differential equation

A. V. Zakharov

Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics
Full-text PDF (206 kB)
Abstract: A numerical method for solving a backward stochastic differential equation is described. The convergence proof for this method is based on the theorem on stability of solutions to such equations proved earlier by the author. The work was supported by the A.M. Lyapunov French-Russian Institute for Applied Mathematics and Informatics (grant 02-01).
Keywords: stability of solution, backward stochastic differential equations, numerical methods, financial mathematics.
UDC: 519.213, 519.62
Language: Russian
Citation: A. V. Zakharov, “On a method for approximate solving a backward stochastic differential equation”, Num. Meth. Prog., 4:1 (2003), 336–347
Citation in format AMSBIB
\Bibitem{Zak03}
\by A.~V.~Zakharov
\paper On a method for approximate solving a backward stochastic differential equation
\jour Num. Meth. Prog.
\yr 2003
\vol 4
\issue 1
\pages 336--347
\mathnet{http://mi.mathnet.ru/vmp728}
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