In this Note, we present a new numerical method for solving backward stochastic differential equations. Our method can be viewed as an analogue of the classical finite element method solving deterministic partial differential equations.
Dans cette Note, nous présentons une nouvelle méthode pour résoudre numériquement les équations différentielles stochastiques rétrogrades. Notre méthode ressemble à la méthode des éléments finis qui permet de résoudre numériquement les équations aux dérivées partielles déterministes.
Accepted:
Published online:
Penghui Wang 1; Xu Zhang 2, 3
@article{CRMATH_2011__349_15-16_901_0, author = {Penghui Wang and Xu Zhang}, title = {Numerical solutions of backward stochastic differential equations: {A} finite transposition method}, journal = {Comptes Rendus. Math\'ematique}, pages = {901--903}, publisher = {Elsevier}, volume = {349}, number = {15-16}, year = {2011}, doi = {10.1016/j.crma.2011.07.011}, language = {en}, }
TY - JOUR AU - Penghui Wang AU - Xu Zhang TI - Numerical solutions of backward stochastic differential equations: A finite transposition method JO - Comptes Rendus. Mathématique PY - 2011 SP - 901 EP - 903 VL - 349 IS - 15-16 PB - Elsevier DO - 10.1016/j.crma.2011.07.011 LA - en ID - CRMATH_2011__349_15-16_901_0 ER -
Penghui Wang; Xu Zhang. Numerical solutions of backward stochastic differential equations: A finite transposition method. Comptes Rendus. Mathématique, Volume 349 (2011) no. 15-16, pp. 901-903. doi : 10.1016/j.crma.2011.07.011. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2011.07.011/
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