no. 1
Approximation scheme for solutions of backward stochastic differential equations via the representation theorem
Mohamed El Otmani1
1Faculty 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

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.

DOI : 10.5802/ambp.212

Mohamed El Otmani  1

1 Faculty of Sciences Semlalia Department of Mathematics Cadi Ayyad University BP 2390 Marrakesh MOROCCO 
Mohamed El Otmani. Approximation scheme for solutions of backward stochastic differential equations via the representation theorem. Annales mathématiques Blaise Pascal, Tome 13 (2006) no. 1, pp. 17-29. doi: 10.5802/ambp.212
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