Discretizing a backward stochastic differential equation.

Zhang, Yinnan, and Zheng, Weian. "Discretizing a backward stochastic differential equation.." International Journal of Mathematics and Mathematical Sciences 32.2 (2002): 103-116. <http://eudml.org/doc/49808>.

@article{Zhang2002,
author = {Zhang, Yinnan, Zheng, Weian},
journal = {International Journal of Mathematics and Mathematical Sciences},
keywords = {Pardoux-Peng's nonlinear backward stochastic differential equation; discretization scheme; numerical method; semi-linear partial differential equations},
language = {eng},
number = {2},
pages = {103-116},
publisher = {Hindawi Publishing Corporation, New York},
title = {Discretizing a backward stochastic differential equation.},
url = {http://eudml.org/doc/49808},
volume = {32},
year = {2002},
}

TY - JOUR
AU - Zhang, Yinnan
AU - Zheng, Weian
TI - Discretizing a backward stochastic differential equation.
JO - International Journal of Mathematics and Mathematical Sciences
PY - 2002
PB - Hindawi Publishing Corporation, New York
VL - 32
IS - 2
SP - 103
EP - 116
LA - eng
KW - Pardoux-Peng's nonlinear backward stochastic differential equation; discretization scheme; numerical method; semi-linear partial differential equations
UR - http://eudml.org/doc/49808
ER -