Approximation scheme for solutions of backward stochastic differential equations via the representation theorem

Mohamed El Otmani[1]

  • [1] Faculty of Sciences Semlalia Department of Mathematics Cadi Ayyad University BP 2390 Marrakesh MOROCCO

Annales mathématiques Blaise Pascal (2006)

  • Volume: 13, Issue: 1, page 17-29
  • ISSN: 1259-1734

Abstract

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We are interested in the approximation and simulation of solutions for the backward stochastic differential equations. We suggest two approximation schemes, and we study the 𝕃 2 induced error.

How to cite

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El Otmani, Mohamed. "Approximation scheme for solutions of backward stochastic differential equations via the representation theorem." Annales mathématiques Blaise Pascal 13.1 (2006): 17-29. <http://eudml.org/doc/10526>.

@article{ElOtmani2006,
abstract = {We are interested in the approximation and simulation of solutions for the backward stochastic differential equations. We suggest two approximation schemes, and we study the $\mathbb\{L\}^2$ induced error.},
affiliation = {Faculty of Sciences Semlalia Department of Mathematics Cadi Ayyad University BP 2390 Marrakesh MOROCCO},
author = {El Otmani, Mohamed},
journal = {Annales mathématiques Blaise Pascal},
language = {eng},
month = {1},
number = {1},
pages = {17-29},
publisher = {Annales mathématiques Blaise Pascal},
title = {Approximation scheme for solutions of backward stochastic differential equations via the representation theorem},
url = {http://eudml.org/doc/10526},
volume = {13},
year = {2006},
}

TY - JOUR
AU - El Otmani, Mohamed
TI - Approximation scheme for solutions of backward stochastic differential equations via the representation theorem
JO - Annales mathématiques Blaise Pascal
DA - 2006/1//
PB - Annales mathématiques Blaise Pascal
VL - 13
IS - 1
SP - 17
EP - 29
AB - We are interested in the approximation and simulation of solutions for the backward stochastic differential equations. We suggest two approximation schemes, and we study the $\mathbb{L}^2$ induced error.
LA - eng
UR - http://eudml.org/doc/10526
ER -

References

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