Geodesic
Probability Theory/Numerical Analysis
Numerical solutions of backward stochastic differential equations: A finite transposition method
[Solutions numériques des équations différentielles stochastiques rétrogrades : « A finite transposition method »]

Présenté par : Philippe G. Ciarlet

Wang, Penghui1 ; Zhang, Xu2, 3
1 School of Mathematics, Shandong University, Jinan 250100, China
2 Key Laboratory of Systems and Control, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China
3 Yangtze Center of Mathematics, Sichuan University, Chengdu 610064, China
Comptes Rendus. Mathématique, Tome 349 (2011) no. 15-16, pp. 901-903.

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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.

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2011.07.011

Wang, Penghui 1 ; Zhang, Xu 2, 3

1 School of Mathematics, Shandong University, Jinan 250100, China
2 Key Laboratory of Systems and Control, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China
3 Yangtze Center of Mathematics, Sichuan University, Chengdu 610064, China 
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Wang, Penghui; Zhang, Xu. Numerical solutions of backward stochastic differential equations: A finite transposition method. Comptes Rendus. Mathématique, Tome 349 (2011) no. 15-16, pp. 901-903. doi : 10.1016/j.crma.2011.07.011. http://geodesic.mathdoc.fr/articles/10.1016/j.crma.2011.07.011/

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