Zhang, Yinnan; Zheng, Weian Discretizing a backward stochastic differential equation. (English) Zbl 1006.60050 Int. J. Math. Math. Sci. 32, No. 2, 103-116 (2002). 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. Cited in 9 Documents 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) Keywords:Pardoux-Peng’s nonlinear backward stochastic differential equation; discretization scheme; numerical method; semi-linear partial differential equations PDFBibTeX XMLCite \textit{Y. Zhang} and \textit{W. Zheng}, Int. J. Math. Math. Sci. 32, No. 2, 103--116 (2002; Zbl 1006.60050) Full Text: DOI EuDML