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Discretizing a backward stochastic differential equation. (English) Zbl 1006.60050

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.

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
65M12 Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs
60H35 Computational methods for stochastic equations (aspects of stochastic analysis)
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