Discretizing a backward stochastic differential equation
نویسندگان
چکیده
منابع مشابه
Discretizing a Backward Stochastic Differential Equation
where (Yt,Zt) are unknown predictable processes. We will assume that f is a Lipschitz function with respect to its arguments throughout this paper. Since this equation has its important applications into control theory and mathematical finance, many mathematicians are not satisfied merely by descriptive existence theorems. They are also interested in constructing the numerical solutions. In ord...
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ژورنال
عنوان ژورنال: International Journal of Mathematics and Mathematical Sciences
سال: 2002
ISSN: 0161-1712,1687-0425
DOI: 10.1155/s0161171202110234