A new numerical method for 1-D backward stochastic differential equations without using conditional expectations

DOI10.1515/rose-2020-2030zbMath1461.60042OpenAlexW3012156883MaRDI QIDQ778246

Sokaina Hadiri, Aissa Sghir

Publication date: 2 July 2020

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2020-2030

zbMATH Keywords

Monte Carlo simulationpartial differential equationbackward stochastic differential equationdiscrete time approximationFeynman-Kac's formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items

Numerical methods for backward stochastic differential equations: a survey

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