Numerical Solutions of Backward Stochastic Differential Equations: A Finite Transposition Method

Details Numerical Solutions of Backward Stochastic Differential Equations: A Finite Transposition Method Numerical Solutions of Backward Stochastic Differential Equations: A Finite Transposition Method

2011-06-04

arxiv.org/abs/1106.0813v1

Mathematics

Probability

4 pages

Scientific paper

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.

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