Numerical Solutions of Backward Stochastic Differential Equations: A Finite Transposition Method
Probability
2011-06-07 v1 Numerical Analysis
Abstract
In this note, we present a new numerical method for solving backward stochastic differential equations. Our method can be viewed as an analogue of the classical finite element method solving deterministic partial differential equations.
Keywords
Cite
@article{arxiv.1106.0813,
title = {Numerical Solutions of Backward Stochastic Differential Equations: A Finite Transposition Method},
author = {Penghui Wang and Xu Zhang},
journal= {arXiv preprint arXiv:1106.0813},
year = {2011}
}
Comments
4 pages