International Journal of Mathematics and Mathematical Sciences
Volume 32 (2002), Issue 2, Pages 103-116
doi:10.1155/S0161171202110234
Discretizing a backward stochastic differential equation
Yinnan Zhang1
and Weian Zheng2
1Department of Mathematics, Fudan University, Shanghai, China
2Department of Statistics, East China Normal University, Shanghai, China
Abstract
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.