A linear numerical scheme for nonlinear BSDEs with uniformly continuous coefficients
We attempt to present a new numerical approach to solve nonlinear backward stochastic differential equations. First, we present some definitions and theorems to obtain the condition, from which we can approximate the nonlinear term of the backward stochastic differential equation (BSDE) and we get a...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2004-01-01
|
| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/S1110757X04401168 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Summary: | We attempt to present a new numerical approach to solve nonlinear
backward stochastic differential equations. First, we present some
definitions and theorems to obtain the condition,
from which we can approximate the nonlinear term of the backward
stochastic differential equation (BSDE) and we get a continuous
piecewise linear BSDE corresponding to the original
BSDE. We use the relationship between backward stochastic
differential equations and stochastic controls by interpreting
BSDEs as some stochastic optimal control problems to solve
the approximated BSDE and we prove that the approximated solution
converges to the exact solution of the original nonlinear BSDE. |
|---|---|
| ISSN: | 1110-757X 1687-0042 |