Annales Mathématiques
Blaise Pascal
no. 1
Approximation scheme for solutions of backward stochastic differential equations via the representation theorem
Mohamed El Otmani1
1 Faculty 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 
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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. https://ambp.centre-mersenne.org/articles/10.5802/ambp.212/

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