Discretizing a Backward Stochastic Differential Equation
نویسندگان
چکیده
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 order to make real construction, Antonelli [1] solved in short time the coupled forward-backward stochastic differential equations, in which it is assumed that ξ = g(VT ) where {Vt}t is the solution to a forward stochastic differential equation
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