Discretizing a backward stochastic differential equation
type: Item
instance of: scholarly article
title: Discretizing a backward stochastic differential equation
zbMATH Open document ID: 1006.60050
DOI: 10.1155/S0161171202110234
author: Yinnan Zhang
author: Weian Zheng
published in: International Journal of Mathematics and Mathematical Sciences
publication date: 2003-01-13T00:00:00Z
full work available at URL: https://eudml.org/doc/49808
review text: Summary: We show a simple method to discretize Pardoux-Peng's nonlinear backward stochastic differential equation. This discretization scheme also gives a numerical method to solve a class of semi-linear PDEs.
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 60H35
zbMATH DE Number: 1852873
zbMATH Keywords: Pardoux-Peng's nonlinear backward stochastic differential equation
zbMATH Keywords: discretization scheme
zbMATH Keywords: numerical method
zbMATH Keywords: semi-linear partial differential equations
Wikidata QID: Q115243340
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1852873