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arXiv:1106.0813 [math.PR]AbstractReferencesReviewsResources

Numerical Solutions of Backward Stochastic Differential Equations: A Finite Transposition Method

Penghui Wang, Xu Zhang

Published 2011-06-04Version 1

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.

Comments: 4 pages
Categories: math.PR, math.NA
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