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

El Otmani, Mohamed¹

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

Annales mathématiques Blaise Pascal, Tome 13 (2006) no. 1, pp. 17-29.

Résumé

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.

Détail

DOI : 10.5802/ambp.212

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