Numerical solutions of backward stochastic differential equations: A finite transposition method

doi:10.1016/j.crma.2011.07.011

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	Numerical solutions of backward stochastic differential equations: A finite transposition method
	Wang, Penghui 1; Zhang, Xu 2,3
	2011-08-01
发表期刊	COMPTES RENDUS MATHEMATIQUE
ISSN	1631-073X
卷号	349 期号:15-16 页码:901-903
摘要	In this Note, we present a new numerical method for solving backward stochastic differential equations. Our method can be viewed as an analogue of the classical finite element method solving deterministic partial differential equations. (C) 2011 Academie des sciences. Published by Elsevier Masson SAS. All rights reserved.
DOI	10.1016/j.crma.2011.07.011
语种	英语
资助项目	NSF of China[10831007] ; NSF of China[60821091] ; NSF of China[60974035] ; National Basic Research Program of China (973 Program)[2011CB808002] ; Innovation Foundation of Shandong University
WOS研究方向	Mathematics
WOS类目	Mathematics
WOS记录号	WOS:000294833300016
出版者	ELSEVIER FRANCE-EDITIONS SCIENTIFIQUES MEDICALES ELSEVIER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/12903
专题	中国科学院数学与系统科学研究院
通讯作者	Wang, Penghui
作者单位	1.Shandong Univ, Sch Math, Jinan 250100, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China 3.Sichuan Univ, Yangtze Ctr Math, Chengdu 610064, Peoples R China
推荐引用方式 GB/T 7714	Wang, Penghui,Zhang, Xu. Numerical solutions of backward stochastic differential equations: A finite transposition method[J]. COMPTES RENDUS MATHEMATIQUE,2011,349(15-16):901-903.
APA	Wang, Penghui,&Zhang, Xu.(2011).Numerical solutions of backward stochastic differential equations: A finite transposition method.COMPTES RENDUS MATHEMATIQUE,349(15-16),901-903.
MLA	Wang, Penghui,et al."Numerical solutions of backward stochastic differential equations: A finite transposition method".COMPTES RENDUS MATHEMATIQUE 349.15-16(2011):901-903.