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- Title
A new numerical method for 1-D backward stochastic differential equations without using conditional expectations.
- Authors
Sghir, Aissa; Hadiri, Sokaina
- Abstract
In this paper, we propose a new numerical method for 1-D backward stochastic differential equations (BSDEs for short) without using conditional expectations. The approximations of the solutions are obtained as solutions of a backward linear system generated by the terminal conditions. Our idea is inspired from the extended Kalman filter to non-linear system models by using a linear approximation around deterministic nominal reference trajectories.
- Subjects
STOCHASTIC differential equations; CONDITIONAL expectations; KALMAN filtering; EULER method; MONTE Carlo method; PARTIAL differential equations
- Publication
Random Operators & Stochastic Equations, 2020, p79
- ISSN
0926-6364
- Publication type
Article
- DOI
10.1515/rose-2020-2030