The Annals of Applied Probability · 2002 · 155 citations · 9 references
EngineeringMathematicsDifferential EquationsStochastic ModelingStochastic ProcessesBrownian MotionNumerical AlgorithmsNumerical Methods For Differential EquationsRandom WalksStochastic CalculusStochastic Differential EquationsApproximation PropertiesBackward Stochastic Differential EquationsBrownian Motion ApproximationsNumerical Methods For Stochastic Differential EquationsRandom Walk ApproximationRandom Walk ModelsSimple Random WalkStochastic Approximation
We propose a method for numerical approximation of backward stochastic differential equations. Our method allows the final condition of the equation to be quite general and simple to implement. It relies on an approximation of Brownian motion by simple random walk.
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Backward Stochastic Differential Equations in Finance
Nicole El Karoui, Shigē Péng, M.C. Quenez · Mathematical Finance · 1997 · 2.4K citations
Engineering, Economics, Finance +10