Title :
Numerical approximation for backward stochastic differential equations
Author :
Negrea, R. ; Hedrea, Ciprian
Author_Institution :
Dept. of Math., Politeh. Univ. of Timisoara, Timisoara, Romania
Abstract :
Our goal is to study numerical approximations of the solutions of backward stochastic differential equations in some general conditions for the coefficient functions and without the condition of the continuity for the final data. An example which sustains our explicitly scheme for solving a class of this stochastic differential equation is presented.
Keywords :
approximation theory; differential equations; stochastic processes; backward stochastic differential equations; coefficient functions; numerical approximation; Approximation methods; Convergence; Differential equations; Equations; Mathematical model; Random variables; Stochastic processes;
Conference_Titel :
Computational Cybernetics (ICCC), 2013 IEEE 9th International Conference on
Conference_Location :
Tihany
Print_ISBN :
978-1-4799-0060-2
DOI :
10.1109/ICCCyb.2013.6617594
