Abstract
In this paper we propose a numerical scheme for a class of backward stochastic differential equations (BSDEs) with possible path-dependent terminal values. We prove that our scheme converges in the strong
Citation
Jianfeng Zhang. "A numerical scheme for BSDEs." Ann. Appl. Probab. 14 (1) 459 - 488, February 2004. https://doi.org/10.1214/aoap/1075828058
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