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13 December 2004 A linear numerical scheme for nonlinear BSDEs with uniformly continuous coefficients
Omid. S. Fard, Ali. V. Kamyad
J. Appl. Math. 2004(6): 461-477 (13 December 2004). DOI: 10.1155/S1110757X04401168


We attempt to present a new numerical approach to solve nonlinear backward stochastic differential equations. First, we present some definitions and theorems to obtain the condition, from which we can approximate the nonlinear term of the backward stochastic differential equation (BSDE) and we get a continuous piecewise linear BSDE corresponding to the original BSDE. We use the relationship between backward stochastic differential equations and stochastic controls by interpreting BSDEs as some stochastic optimal control problems to solve the approximated BSDE and we prove that the approximated solution converges to the exact solution of the original nonlinear BSDE.


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Omid. S. Fard. Ali. V. Kamyad. "A linear numerical scheme for nonlinear BSDEs with uniformly continuous coefficients." J. Appl. Math. 2004 (6) 461 - 477, 13 December 2004.


Published: 13 December 2004
First available in Project Euclid: 13 December 2004

zbMATH: 1082.60050
MathSciNet: MR2200994
Digital Object Identifier: 10.1155/S1110757X04401168

Primary: 60H10 , 93E20
Secondary: 41A10 , 49N10

Rights: Copyright © 2004 Hindawi

Vol.2004 • No. 6 • 13 December 2004
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